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ORCIDKarel J. in 't Hout
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2020 – today
- 2024
[i6]Karel J. in 't Hout:
A note on the numerical approximation of Greeks for American-style options. CoRR abs/2401.13361 (2024)- [i5]Karel J. in 't Hout:
An efficient numerical method for American options and their Greeks under the two-asset Kou jump-diffusion model. CoRR abs/2410.10444 (2024) - 2022
- [i4]Karel J. in 't Hout, Pieter Lamotte:
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model. CoRR abs/2207.10060 (2022) - 2021
- [j14]Karel J. in 't Hout, Jacob Snoeijer
:
Numerical valuation of Bermudan basket options via partial differential equations. Int. J. Comput. Math. 98(4): 829-844 (2021) - [j13]Lynn Boen, Karel J. in 't Hout:
Operator splitting schemes for the two-asset Merton jump-diffusion model. J. Comput. Appl. Math. 387: 112309 (2021) - [i3]Karel J. in 't Hout, Jacob Snoeijer:
Numerical valuation of American basket options via partial differential complementarity problems. CoRR abs/2106.01200 (2021)
2010 – 2019
- 2019
- [j12]Lina von Sydow, Slobodan Milovanovic, Elisabeth Larsson, Karel J. in 't Hout, Magnus Wiktorsson, Cornelis W. Oosterlee, Victor Shcherbakov, Maarten Wyns, Álvaro Leitao, Shashi Jain, Tinne Haentjens, Johan Waldén:
BENCHOP - SLV: the BENCHmarking project in Option Pricing - Stochastic and Local Volatility problems. Int. J. Comput. Math. 96(10): 1910-1923 (2019) - [i2]Karel J. in 't Hout, Jacob Snoeijer:
Numerical valuation of Bermudan basket options via partial differential equations. CoRR abs/1909.01164 (2019) - [i1]Lynn Boen, Karel J. in 't Hout:
Operator splitting schemes for American options under the two-asset Merton jump-diffusion model. CoRR abs/1912.06809 (2019) - 2018
- [j11]Karel J. in 't Hout, Andrey Itkin, Lina von Sydow, Jari Toivanen:
Special issue - Computational and algorithmic finance. J. Comput. Sci. 24: 180-181 (2018) - [j10]Maarten Wyns, Karel J. in 't Hout:
An adjoint method for the exact calibration of stochastic local volatility models. J. Comput. Sci. 24: 182-194 (2018) - [j9]Willem Hundsdorfer, Karel J. in 't Hout:
On Multistep Stabilizing Correction Splitting Methods with Applications to the Heston Model. SIAM J. Sci. Comput. 40(3) (2018) - 2016
- [j8]Karel J. in 't Hout, Maarten Wyns:
Convergence of the Modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term. J. Comput. Appl. Math. 296: 170-180 (2016) - [j7]Annie A. M. Cuyt, Oliver Salazar Celis, Maryna Lukach, Karel J. in 't Hout:
Analytic models for parameter dependency in option price modelling. Numer. Algorithms 73(1): 15-31 (2016) - 2015
- [j6]Karel J. in 't Hout, Andrey Itkin, Cornelis W. Oosterlee, Jari Toivanen:
Editorial. Int. J. Comput. Math. 92(12): 2345-2346 (2015) - 2012
- [j5]Karel J. in 't Hout, Kim Volders:
Stability of central finite difference schemes for the Heston PDE. Numer. Algorithms 60(1): 115-133 (2012) - 2011
- [j4]K. J. in 't Hout, Chittaranjan Mishra:
Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term. Math. Comput. Simul. 81(11): 2540-2548 (2011) - [j3]K. J. in 't Hout, J. A. C. Weideman:
A Contour Integral Method for the Black-Scholes and Heston Equations. SIAM J. Sci. Comput. 33(2): 763-785 (2011)
2000 – 2009
- 2004
- [j2]K. J. in 't Hout, Barbara Zubik-Kowal:
The stability of radau IIA collocation processes for delay differential equations. Math. Comput. Model. 40(11-12): 1297-1308 (2004) - 2001
- [j1]Koen Engelborghs, Tatyana Luzyanina, Karel J. in 't Hout, Dirk Roose:
Collocation Methods for the Computation of Periodic Solutions of Delay Differential Equations. SIAM J. Sci. Comput. 22(5): 1593-1609 (2001)
Coauthor Index
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