2 citations · 2 across the 3 of their papers we have counts for
7 papers
A note on the numerical approximation of Greeks for American-style options
Karel J. in 't Hout
In this note we consider the approximation of the Greeks Delta and Gamma of American-style options through the numerical solution of time-dependent partial differential complementa…
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
Karel in 't Hout, Pieter Lamotte
This paper concerns the numerical solution of the two-dimensional time-dependent partial integro-differential equation (PIDE) that holds for the values of European-style options un…
Operator splitting schemes for the two-asset Merton jump-diffusion model
Lynn Boen, Karel J. in 't Hout
This paper deals with the numerical solution of the two-dimensional time-dependent Merton partial integro-differential equation (PIDE) for the values of rainbow options under the t…
On Multistep Stabilizing Correction Splitting Methods with Applications to the Heston Model
Willem Hundsdorfer, Karel in 't Hout
In this note we consider splitting methods based on linear multistep methods and stabilizing corrections. To enhance the stability of the methods, we employ an idea of Bruno & Cubi…
Numerical study of splitting methods for American option valuation
Karel in 't Hout, Radoslav Valkov
This paper deals with the numerical approximation of American-style option values governed by partial differential complementarity problems. For a variety of one- and two-asset Ame…
An adjoint method for the exact calibration of Stochastic Local Volatility models
Maarten Wyns, Karel in 't Hout
This paper deals with the exact calibration of semidiscretized stochastic local volatility (SLV) models to their underlying semidiscretized local volatility (LV) models. Under an S…