Karel J. in 't Hout

According to our database, Karel J. in 't Hout authored at least 19 papers between 2001 and 2024.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2024

An efficient numerical method for American options and their Greeks under the two-asset Kou jump-diffusion model.

Karel J. in 't Hout

CoRR, 2024

A note on the numerical approximation of Greeks for American-style options.

Karel J. in 't Hout

CoRR, 2024

2022

Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model.

Karel J. in 't Hout, Pieter Lamotte

CoRR, 2022

2021

Operator splitting schemes for the two-asset Merton jump-diffusion model.

Lynn Boen, Karel J. in 't Hout

J. Comput. Appl. Math., 2021

Numerical valuation of Bermudan basket options via partial differential equations.

Karel J. in 't Hout, Jacob Snoeijer

Int. J. Comput. Math., 2021

Numerical valuation of American basket options via partial differential complementarity problems.

Karel J. in 't Hout, Jacob Snoeijer

CoRR, 2021

2019

BENCHOP - SLV: the BENCHmarking project in Option Pricing - Stochastic and Local Volatility problems.

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

Int. J. Comput. Math., 2019

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

Lynn Boen, Karel J. in 't Hout

CoRR, 2019

2018

On Multistep Stabilizing Correction Splitting Methods with Applications to the Heston Model.

Willem Hundsdorfer, Karel J. in 't Hout

SIAM J. Sci. Comput., 2018

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

Maarten Wyns, Karel J. in 't Hout

J. Comput. Sci., 2018

Special issue - Computational and algorithmic finance.

Karel J. in 't Hout, Andrey Itkin, Lina von Sydow, Jari Toivanen

J. Comput. Sci., 2018

2016

Analytic models for parameter dependency in option price modelling.

Annie A. M. Cuyt, Oliver Salazar Celis, Maryna Lukach, Karel J. in 't Hout

Numer. Algorithms, 2016

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

Karel J. in 't Hout, Maarten Wyns

J. Comput. Appl. Math., 2016

2015

Editorial.

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

Int. J. Comput. Math., 2015

2012

Stability of central finite difference schemes for the Heston PDE.

Karel J. in 't Hout, Kim Volders

Numer. Algorithms, 2012

2011

A Contour Integral Method for the Black-Scholes and Heston Equations.

K. J. in 't Hout, J. A. C. Weideman

SIAM J. Sci. Comput., 2011

Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term.

K. J. in 't Hout, Chittaranjan Mishra

Math. Comput. Simul., 2011

2004

The stability of radau IIA collocation processes for delay differential equations.

K. J. in 't Hout, Barbara Zubik-Kowal

Math. Comput. Model., 2004

2001

Collocation Methods for the Computation of Periodic Solutions of Delay Differential Equations.

Koen Engelborghs, Tatyana Luzyanina, Karel J. in 't Hout, Dirk Roose

SIAM J. Sci. Comput., 2001