Concepedia

Samuli Ikonen

SI

Statistics

Publications

7

Citations

626

H-Index

7

Active since

2004

Affiliations

University of Jyväskylä(Current)

Samuli Ikonen is an author at University of Jyväskylä specializing in option pricing, engineering, and multivariate stochastic volatility.

Top concepts

Option PricingEngineeringNumerical AnalysisMultivariate Stochastic VolatilityBusinessAsset PricingApproximation TheoryStochastic VolatilityStochastic CalculusMathematical Programming

Publications per year

2004–2009

7

Publications

7

Operator splitting methods for American option pricing

Samuli Ikonen, J. Toivanen · Applied Mathematics Letters · 2004 · 190 citations

Numerical Analysis, Option Pricing, Variational Analysis +2

Efficient numerical methods for pricing American options under stochastic volatility

Samuli Ikonen, Jari Toivanen · Numerical Methods for Partial Differential Equations · 2007 · 164 citations

Numerical Analysis, Mathematical Programming, Engineering +16

Operator splitting methods for pricing American options under stochastic volatility

Samuli Ikonen, Jari Toivanen · Numerische Mathematik · 2009 · 130 citations

Option Pricing, Multivariate Stochastic Volatility, Engineering +7

COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY

Samuli Ikonen, Jari Toivanen · International Journal of Theoretical and Applied Finance · 2007 · 69 citations

Numerical Analysis, Mathematical Programming, Engineering +17

Pricing American Options Using LU Decomposition

Samuli Ikonen, Jari Toivanen · 2007 · 43 citations

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