45 citations · 55 across the 2 of their papers we have counts for
2 papers
q-fin.CP2013★ 45 cited
ADI schemes for pricing American options under the Heston model
Tinne Haentjens, Karel in 't Hout
In this paper a simple, effective adaptation of Alternating Direction Implicit (ADI) time discretization schemes is proposed for the numerical pricing of American-style options und…
q-fin.CP2011★ 10 cited
ADI finite difference schemes for the Heston-Hull-White PDE
Tinne Haentjens, Karel J. in 't Hout
In this paper we investigate the effectiveness of Alternating Direction Implicit (ADI) time discretization schemes in the numerical solution of the three-dimensional Heston-Hull-Wh…