Karel J. in 't Hout

Publication Activity (10 Years)

Years Active: 2001-2024
Publications (10 Years): 13

Top Topics

Diffusion Model

Image Enhancement

Operator Splitting

Top Venues

Int. J. Comput. Math.

J. Comput. Appl. Math.

J. Comput. Sci.

Publications

Karel J. in 't Hout
A note on the numerical approximation of Greeks for American-style options. CoRR (2024)
Karel J. in 't Hout, Pieter Lamotte
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model. CoRR (2022)
Lynn Boen, Karel J. in 't Hout
Operator splitting schemes for the two-asset Merton jump-diffusion model. J. Comput. Appl. Math. 387 (2021)
Karel J. in 't Hout, Jacob Snoeijer
Numerical valuation of Bermudan basket options via partial differential equations. Int. J. Comput. Math. 98 (4) (2021)
Karel J. in 't Hout, Jacob Snoeijer
Numerical valuation of American basket options via partial differential complementarity problems. CoRR (2021)
Lynn Boen, Karel J. in 't Hout
Operator splitting schemes for American options under the two-asset Merton jump-diffusion model. CoRR (2019)
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) (2019)
Karel J. in 't Hout, Jacob Snoeijer
Numerical valuation of Bermudan basket options via partial differential equations. CoRR (2019)
Karel J. in 't Hout, Andrey Itkin, Lina von Sydow, Jari Toivanen
Special issue - Computational and algorithmic finance. J. Comput. Sci. 24 (2018)
Maarten Wyns, Karel J. in 't Hout
An adjoint method for the exact calibration of stochastic local volatility models. J. Comput. Sci. 24 (2018)
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)
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) (2016)
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 (2016)
Karel J. in 't Hout, Andrey Itkin, Cornelis W. Oosterlee, Jari Toivanen
Editorial. Int. J. Comput. Math. 92 (12) (2015)
Karel J. in 't Hout, Kim Volders
Stability of central finite difference schemes for the Heston PDE. Numer. Algorithms 60 (1) (2012)
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) (2001)