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- Karel J. in 't Hout, J. A. C. Weideman
- SIAM J. Scientific Computing
- 2011

- Koen Engelborghs, Tatyana Luzyanina, Karel J. in 't Hout, Dirk Roose
- SIAM J. Scientific Computing
- 2001

- Karel J. in 't Hout, C. Mishra
- Mathematics and Computers in Simulation
- 2011

- Karel J. in 't Hout, Maarten Wyns
- J. Computational Applied Mathematics
- 2016

- Karel J. in 't Hout, Kim Volders
- Numerical Algorithms
- 2011

This paper deals with stability in the numerical solution of the prominent Heston partial differential equation from mathematical finance. We study the well-known central second-order finite difference discretization, which leads to large semidiscrete systems with nonnormal matrices A. By employing the logarithmic spectral norm we prove practical, rigorous… (More)

- Karel J. in 't Hout, Barbara Zubik-Kowal
- Mathematical and Computer Modelling
- 2004

- Annie A. M. Cuyt, Oliver Salazar Celis, Maryna Lukach, Karel J. in 't Hout
- Numerical Algorithms
- 2015

Options are a type of financial instrument classed as derivatives, as they derive their value from an underlying asset. The equations used to model the option price are often expressed as partial differential equations (PDEs). Once expressed in this form, a discretization method on a finite grid can be applied and the numerical valuation obtained. Remains… (More)

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