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1

ADI Schemes for Pricing American Options under the Heston Model

Haentjens, Tinne, in ’t Hout, Karel J.

Journal:

Applied Mathematical Finance

Year:

2015

Language:

english

File:

PDF, 962 KB

english, 2015

2

An adjoint method for the exact calibration of stochastic local volatility models

Wyns, Maarten, in 't Hout, Karel J.

Journal:

Journal of Computational Science

Year:

2017

Language:

english

File:

PDF, 1.37 MB

english, 2017

3

Periodic orbits of delay differential equations under discretization

Karel In't Hout, Christian Lubich

Journal:

BIT Numerical Mathematics

Year:

1998

Language:

english

File:

PDF, 877 KB

english, 1998

4

Stability of central finite difference schemes for the Heston PDE

Karel J. in ’t Hout, Kim Volders

Journal:

Numerical Algorithms

Year:

2012

Language:

english

File:

PDF, 413 KB

english, 2012

5

[AIP Numerical Analysis and Applied Mathematics - Corfu, Greece (16-20 September 2007)] AIP Conference Proceedings - ADI Schemes in the Numerical Solution of the Heston PDE

in 't Hout, Karel, Simos, Theodore E., Psihoyios, George, Tsitouras, Ch.

Year:

2007

Language:

english

File:

PDF, 981 KB

english, 2007

6

AIP Conference Proceedings [AIP ICNAAM 2010: International Conference of Numerical Analysis and Applied Mathematics 2010 - Rhodes (Greece) (19–25 September 2009)] - A Stability Result for the Modified Craig-Sneyd Scheme Applied to 2D and 3D Pure Diffusion Equations

Hout, Karel in’t, Mishra, Chittaranjan, Simos, Theodore E., Psihoyios, George, Tsitouras, Ch.

Year:

2010

Language:

english

File:

PDF, 72 KB

english, 2010

7

AIP Conference Proceedings [AIP ICNAAM 2010: International Conference of Numerical Analysis and Applied Mathematics 2010 - Rhodes (Greece) (19–25 September 2009)] - ADI Finite Difference Discretization of the Heston-Hull-White PDE

Haentjens, Tinne, Hout, Karel in’t, Simos, Theodore E., Psihoyios, George, Tsitouras, Ch.

Year:

2010

Language:

english

File:

PDF, 102 KB

english, 2010

8

AIP Conference Proceedings [AIP NUMERICAL ANALYSIS AND APPLIED MATHEMATICS ICNAAM 2012: International Conference of Numerical Analysis and Applied Mathematics - Kos, Greece (19–25 September 2012)] - Finite difference approximation of hedging quantities in the Heston model

in 't Hout, Karel

Year:

2012

Language:

english

File:

PDF, 379 KB

english, 2012

9

AIP Conference Proceedings [AIP Publishing LLC PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON NUMERICAL ANALYSIS AND APPLIED MATHEMATICS 2014 (ICNAAM-2014) - Rhodes, Greece (22–28 September 2014)] - Numerical solution of a two-asset option valuation PDE by ADI finite difference discretization

Hout, Karel in ’t, Valkov, Radoslav

Year:

2015

Language:

english

File:

PDF, 256 KB

english, 2015

10

AIP Conference Proceedings [AIP Publishing LLC PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON NUMERICAL ANALYSIS AND APPLIED MATHEMATICS 2014 (ICNAAM-2014) - Rhodes, Greece (22–28 September 2014)] - Convergence of the Hundsdorfer–Verwer scheme for two-dimensional convection-diffusion equations with mixed derivative term

in ’t Hout, Karel, Wyns, Maarten

Year:

2015

Language:

english

File:

PDF, 121 KB

english, 2015

11

AIP Conference Proceedings [AIP ICNAAM 2010: International Conference of Numerical Analysis and Applied Mathematics 2010 - Rhodes (Greece) (19–25 September 2009)] - ADI Schemes with Ikonen—Toivanen Splitting for Pricing American put Options in the Heston Model

Haentjens, Tinne, in’t Hout, Karel, Volders, Kim, Simos, Theodore E., Psihoyios, George, Tsitouras, Ch.

Year:

2010

Language:

english

File:

PDF, 237 KB

english, 2010

12

Editorial

in ’t Hout, Karel, Itkin, Andrey, Oosterlee, Cornelis W., Toivanen, Jari

Journal:

International Journal of Computer Mathematics

Year:

2015

Language:

english

File:

PDF, 420 KB

english, 2015

13

Convergence of the Modified Craig–Sneyd scheme for two-dimensional convection–diffusion equations with mixed derivative term

in ’t Hout, Karel J., Wyns, Maarten

Journal:

Journal of Computational and Applied Mathematics

Year:

2016

Language:

english

File:

PDF, 625 KB

english, 2016

14

Analytic models for parameter dependency in option price modelling

Cuyt, Annie, Salazar Celis, Oliver, Lukach, Maryna, In’t Hout, Karel

Journal:

Numerical Algorithms

Year:

2016

Language:

english

File:

PDF, 996 KB

english, 2016

15

Special Issue—Computational and Algorithmic Finance

Hout, Karel in ’t, Itkin, Andrey, Sydow, Lina von, Toivanen, Jari

Journal:

Journal of Computational Science

Year:

2017

Language:

english

File:

PDF, 515 KB

english, 2017

16

ADI schemes for valuing European options under the Bates model

in 't Hout, Karel J., Toivanen, Jari

Journal:

Applied Numerical Mathematics

Year:

2018

Language:

english

File:

PDF, 391 KB

english, 2018

17

BENCHOP–SLV: The BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems

von Sydow, Lina, Milovanović, Slobodan, Larsson, Elisabeth, Hout, Karel In't, Wiktorsson, Magnus, Oosterlee, Cornelis W., Shcherbakov, Victor, Wyns, Maarten, Leitao, Alvaro, Jain, Shashi, Haentjens, T

Journal:

International Journal of Computer Mathematics

Year:

2018

Language:

english

File:

PDF, 455 KB

english, 2018

18

Operator splitting schemes for American options under the two-asset Merton jump-diffusion model

Boen, Lynn, in 't Hout, Karel J.

Journal:

Applied Numerical Mathematics

Year:

2020

Language:

english

File:

PDF, 767 KB

english, 2020

19

Numerical valuation of Bermudan basket options via partial differential equations

in 't Hout, Karel J., Snoeijer, Jacob

Journal:

International Journal of Computer Mathematics

Year:

2020

File:

PDF, 567 KB

2020

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