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Tinne Haentjens
Publication Activity (10 Years)
Years Active: 2013-2019
Publications (10 Years): 1
Top Topics
Black Scholes
Hamilton Jacobi
Option Pricing
Finite Difference
Top Venues
Int. J. Comput. Math.
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Publications
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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)
Tinne Haentjens
Efficient and stable numerical solution of the Heston-Cox-Ingersoll-Ross partial differential equation by alternating direction implicit finite difference schemes.
Int. J. Comput. Math.
90 (11) (2013)