Zobrazeno 1 - 10
of 34
pro vyhledávání: '"Karel in 't Hout"'
Autor:
Jacob Snoeijer, Karel in 't Hout
Publikováno v:
International journal of computer mathematics
We study the principal component analysis (PCA) based approach introduced by Reisinger and Wittum [Efficient hierarchical approximation of high-dimensional option pricing problems, SIAM J. Sci. Comp. 29 (2007), pp. 440–458] for the approximation of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::efdc04672f64461cfb8704c523c1ca6f
https://hdl.handle.net/10067/1703820151162165141
https://hdl.handle.net/10067/1703820151162165141
Autor:
Lynn Boen, Karel in 't Hout
Publikováno v:
Journal of computational and applied mathematics
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 two-asset Merton jump–diffusion model. Key features of this well-know
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dd28fb4ecda4506aa85e665737507589
https://repository.uantwerpen.be/docman/irua/703e26/160544.pdf
https://repository.uantwerpen.be/docman/irua/703e26/160544.pdf
Autor:
Lynn Boen, Karel in 't Hout
Publikováno v:
Applied numerical mathematics
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-style options under the two-asset Merton jump-diffusion model. We consider
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::28893eb0a9e897e4df35f9c63e1eb452
https://repository.uantwerpen.be/docman/irua/41fb54/166155.pdf
https://repository.uantwerpen.be/docman/irua/41fb54/166155.pdf
Autor:
Karel in 't Hout, Jari Toivanen
Publikováno v:
Applied numerical mathematics
This paper is concerned with the adaptation of alternating direction implicit (ADI) time discretization schemes for the numerical solution of partial integro-differential equations (PIDEs) with application to the Bates model in finance. Three differe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7f99c362d771ea070e220786de39eb4f
https://doi.org/10.1016/j.apnum.2018.04.003
https://doi.org/10.1016/j.apnum.2018.04.003
Autor:
Karel in 't Hout, Maarten Wyns
Publikováno v:
Journal of Computational Science
This paper deals with the exact calibration of semidiscretized stochastic local volatility (SLV) models to their underlying semidiscretized local volatility (LV) models. Under an SLV model, it is common to approximate the fair value of European-style
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::159aed6bd66f131ea5eabb45c2dd5bbe
https://doi.org/10.1016/j.jocs.2017.02.004
https://doi.org/10.1016/j.jocs.2017.02.004
Autor:
Willem Hundsdorfer, Karel in 't Hout
Publikováno v:
SIAM journal on scientific computing
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 and Cubillos [O. P. Bruno and M. Cubillos, J. Comput. Phys., 307 (2016), pp.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::74d51f33b76cd3f2be36e71755e6e331
https://doi.org/10.1137/17m1146026
https://doi.org/10.1137/17m1146026
Autor:
Karel in 't Hout, Maarten Wyns
Publikováno v:
Journal of computational and applied mathematics
We consider the Modified CraigSneyd (MCS) scheme which forms a prominent time stepping method of the Alternating Direction Implicit type for multidimensional time-dependent convectiondiffusion equations with mixed spatial derivative terms. Such equat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::28e7489ebf881cea67bb0e31cc1dbf6b
https://doi.org/10.1016/j.cam.2015.09.023
https://doi.org/10.1016/j.cam.2015.09.023
Autor:
Tinne Haentjens, Karel in 't Hout, Maarten Wyns, Victor Shcherbakov, Elisabeth Larsson, Johan Walden, Cornelis W. Oosterlee, Slobodan Milovanović, Shashi Jain, Magnus Wiktorsson, Lina von Sydow, Álvaro Leitao
Publikováno v:
International Journal of Computer Mathematics, 96(10), 1910-1923
International journal of computer mathematics
International Journal of Computer Mathematics
International journal of computer mathematics
International Journal of Computer Mathematics
In the recent project BENCHOP the BENCHmarking project in Option Pricing we found that Stochastic and Local Volatility problems were particularly challenging. Here we continue the effort by introducing a set of benchmark problems for this type of pro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e89100c710d62c1784f9a73f9ed968c4
https://ir.cwi.nl/pub/28249
https://ir.cwi.nl/pub/28249
Autor:
Karel in 't Hout, Tinne Haentjens
Publikováno v:
Applied mathematical finance
In this article, a simple, effective adaptation of Alternating Direction Implicit time discretization schemes is proposed for the numerical pricing of American-style options under the Heston model via a partial differential complementarity problem. T
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c4ce1e2c0e6dd50a0a2ed2414b173548
https://doi.org/10.1080/1350486x.2015.1009129
https://doi.org/10.1080/1350486x.2015.1009129
Autor:
Karel in 't Hout
This book provides a first, basic introduction into the valuation of financial options via the numerical solution of partial differential equations (PDEs). It provides readers with an easily accessible text explaining main concepts, models, methods a