Concepedia

S. Foulon

SF

3

Publications

304

Citations

3

H-Index

2008

Active since

Affiliations

University of Antwerp(Current)

S. Foulon is an author at University of Antwerp specializing in option pricing, business, and numerical analysis.

Top concepts

Option PricingBusinessEngineeringAsset PricingNumerical AnalysisStochastic CalculusStochastic VolatilityMultivariate Stochastic Volatility

Publications per year

2008–2008

3

Publications

3

ADI finite difference schemes for option pricing in the Heston model\n with correlation

Karel in ’t Hout, S. Foulon · arXiv (Cornell University) · 2008 · 181 citations · Full text

ADI finite difference schemes for option pricing in the Heston model with correlation

Karel J. in ’t Hout, S. Foulon · arXiv (Cornell University) · 2008 · 98 citations · Full text

Numerical Analysis, Option Pricing, Heston Pde +7

Path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models

D. Lemmens, Michiel Wouters, J. Tempere et al. · Physical Review E · 2008 · 25 citations · Full text

Option Pricing, Multivariate Stochastic Volatility, Plain Vanilla Option +12

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