2 citations · 2 across the 3 of their papers we have counts for
4 papers
Numerical valuation of American basket options via partial differential complementarity problems
Karel in 't Hout, Jacob Snoeijer
We study the principal component analysis based approach introduced by Reisinger & Wittum (2007) and the comonotonic approach considered by Hanbali & Linders (2019) for the approxi…
Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
Lynn Boen, Karel J. in 't Hout
This paper deals with the efficient numerical solution of the two-dimensional partial integro-differential complementarity problem (PIDCP) that holds for the value of American-styl…
Numerical valuation of Bermudan basket options via partial differential equations
Karel J. in 't Hout, Jacob Snoeijer
We study the principal component analysis (PCA) based approach introduced by Reisinger & Wittum (2007) for the approximation of Bermudan basket option values via partial differenti…
Application of Operator Splitting Methods in Finance
Karel in 't Hout, Jari Toivanen
Financial derivatives pricing aims to find the fair value of a financial contract on an underlying asset. Here we consider option pricing in the partial differential equations fram…