Karel J. in 't Hout

Available identifiers

zbMath Open in-t-hout.karel-jMaRDI QIDQ243100

List of research outcomes

Publication	Date of Publication	Type
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model	2022-07-20	Paper
ADI finite difference schemes for option pricing in the Heston model with correlation	2022-03-07	Paper
Numerical valuation of Bermudan basket options via partial differential equations	2022-02-18	Paper
BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems	2022-02-16	Paper
Numerical valuation of American basket options via partial differential complementarity problems	2021-06-02	Paper
Operator splitting schemes for the two-asset Merton jump-diffusion model	2021-02-03	Paper
Operator splitting schemes for American options under the two-asset Merton jump-diffusion model	2020-04-07	Paper
Numerical Study of Splitting Methods for American Option Valuation	2019-02-28	Paper
ADI Schemes for Pricing American Options under the Heston Model	2018-09-18	Paper
On Multistep Stabilizing Correction Splitting Methods with Applications to the Heston Model	2018-06-05	Paper
ADI schemes for valuing European options under the Bates model	2018-05-11	Paper
Application of Operator Splitting Methods in Finance	2017-09-01	Paper
Modified Douglas splitting methods for reaction-diffusion equations	2017-06-22	Paper
Analytic models for parameter dependency in option price modelling	2016-09-14	Paper
An adjoint method for the exact calibration of Stochastic Local Volatility models	2016-09-01	Paper
Convergence of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term	2015-12-21	Paper
Stability and convergence analysis of discretizations of the Black-Scholes PDE with the linear boundary condition	2014-02-28	Paper
Stability of central finite difference schemes for the Heston PDE	2012-05-08	Paper
A Contour Integral Method for the Black–Scholes and Heston Equations	2011-10-28	Paper
Stability of central finite difference schemes on non-uniform grids for the Black-Scholes equation	2009-08-07	Paper
Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms	2009-03-20	Paper
ADI Schemes in the Numerical Solution of the Heston PDE	2009-01-22	Paper
Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms	2006-12-14	Paper
The stability of Radau IIA collocation processes for delay differential equations	2005-08-17	Paper
Analysis of error growth via stability regions in numerical initial value problems	2003-12-04	Paper
On the contractivity of implicit-explicit linear multistep methods	2002-08-22	Paper
Convergence of Runge-Kutta methods for delay differential equations	2001-08-28	Paper
Collocation Methods for the Computation of Periodic Solutions of Delay Differential Equations	2001-03-19	Paper
Periodic orbits of delay differential equations under discretization	1999-01-19	Paper
Stability analysis of Runge-Kutta methods for systems of delay differential equations	1997-08-04	Paper
On the stability of adaptations of Runge-Kutta methods to systems of delay differential equations	1997-04-21	Paper
A Note on Unconditional Maximum Norm Contractivity of Diagonally Split Runge–Kutta Methods	1996-07-23	Paper
https://portal.mardi4nfdi.de/entity/Q4839883	1996-05-27	Paper
On the convergence of waveform relaxation methods for stiff nonlinear ordinary differential equations	1996-01-07	Paper
A new interpolation procedure for adapting Runge-Kutta methods to delay differential equations	1993-01-26	Paper
The stability of a class of Runge-Kutta methods for delay differential equations	1992-09-26	Paper
https://portal.mardi4nfdi.de/entity/Q3975512	1992-06-26	Paper
Stability analysis of numerical methods for delay differential equations	1991-01-01	Paper

Research outcomes over time

Doctoral students

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