Karel J. in 't Hout

19 papers Journal 19

Year	Rank	Type	Title / Venue / Authors
2025	J	`jnl`	Numerical methods for solving PIDEs arising in swing option pricing under a two-factor mean-reverting model with jumps. CoRR Mustapha Regragui, Karel J. in 't Hout, Michèle Vanmaele, Fred Espen Benth
2025	J	`jnl`	Numerical valuation of European options under two-asset infinite-activity exponential Lévy models. CoRR Massimiliano Moda, Karel J. in 't Hout, Michèle Vanmaele, Fred Espen Benth
2024	J	`jnl`	A note on the numerical approximation of Greeks for American-style options. CoRR Karel J. in 't Hout
2024	J	`jnl`	An efficient numerical method for American options and their Greeks under the two-asset Kou jump-diffusion model. CoRR Karel J. in 't Hout
2022	J	`jnl`	Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model. CoRR Karel J. in 't Hout, Pieter Lamotte
2021	J	`jnl`	Numerical valuation of American basket options via partial differential complementarity problems. CoRR Karel J. in 't Hout, Jacob Snoeijer
2021	J	`jnl`	Numerical valuation of Bermudan basket options via partial differential equations. Int. J. Comput. Math. Karel J. in 't Hout, Jacob Snoeijer
2021	J	`jnl`	Operator splitting schemes for the two-asset Merton jump-diffusion model. J. Comput. Appl. Math. Lynn Boen, Karel J. in 't Hout
2019	J	`jnl`	BENCHOP - SLV: the BENCHmarking project in Option Pricing - Stochastic and Local Volatility problems. Int. J. Comput. Math. 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
2019	J	`jnl`	Numerical valuation of Bermudan basket options via partial differential equations. CoRR Karel J. in 't Hout, Jacob Snoeijer
2019	J	`jnl`	Operator splitting schemes for American options under the two-asset Merton jump-diffusion model. CoRR Lynn Boen, Karel J. in 't Hout
2018	J	`jnl`	An adjoint method for the exact calibration of stochastic local volatility models. J. Comput. Sci. Maarten Wyns, Karel J. in 't Hout
2018	J	`jnl`	On Multistep Stabilizing Correction Splitting Methods with Applications to the Heston Model. SIAM J. Sci. Comput. Willem Hundsdorfer, Karel J. in 't Hout
2018	J	`jnl`	Special issue - Computational and algorithmic finance. J. Comput. Sci. Karel J. in 't Hout, Andrey Itkin, Lina von Sydow, Jari Toivanen
2016	J	`jnl`	Analytic models for parameter dependency in option price modelling. Numer. Algorithms Annie A. M. Cuyt, Oliver Salazar Celis, Maryna Lukach, Karel J. in 't Hout
2016	J	`jnl`	Convergence of the Modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term. J. Comput. Appl. Math. Karel J. in 't Hout, Maarten Wyns
2015	J	`jnl`	Editorial. Int. J. Comput. Math. Karel J. in 't Hout, Andrey Itkin, Cornelis W. Oosterlee, Jari Toivanen
2012	J	`jnl`	Stability of central finite difference schemes for the Heston PDE. Numer. Algorithms Karel J. in 't Hout, Kim Volders
2001	J	`jnl`	Collocation Methods for the Computation of Periodic Solutions of Delay Differential Equations. SIAM J. Sci. Comput. Koen Engelborghs, Tatyana Luzyanina, Karel J. in 't Hout, Dirk Roose