BENCHOP - The BENCHmarking project in option pricing

BENCHOP - The BENCHmarking project in option pricing

The aim of the BENCHOP project is to provide the finance community with a common suite of benchmark problems for option pricing. We provide a detailed description of the six benchmark problems together with methods to compute reference solutions. We have implemented fifteen different numerical metho...

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Bibliographic Details
Published in:International journal of computer mathematics Vol. 92; no. 12; pp. 2361 - 2379
Main Authors: von Sydow, Lina, Josef Höök, Lars, Larsson, Elisabeth, Lindström, Erik, Milovanović, Slobodan, Persson, Jonas, Shcherbakov, Victor, Shpolyanskiy, Yuri, Sirén, Samuel, Toivanen, Jari, Waldén, Johan, Wiktorsson, Magnus, Levesley, Jeremy, Li, Juxi, Oosterlee, Cornelis W., Ruijter, Maria J., Toropov, Alexander, Zhao, Yangzhang
Format: Journal Article
Language:English
Published: Abingdon Taylor & Francis 02-12-2015
Taylor & Francis Ltd
Subjects:
65-02
benchmark problem
Benchmarking
Benchmarks
Beräkningsmatematik
Communities
Comparative analysis
Computational Mathematics
Computer simulation
Finance
finite difference method
Fourier method
Fouriermethod
Matematik
Mathematical models
Mathematics
Monte Carlo method
Monte Carlo simulation
Natural Sciences
Naturvetenskap
Numerical analysis
numerical methods
On-line systems
Option pricing
Pricing
radial basis function
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Summary:The aim of the BENCHOP project is to provide the finance community with a common suite of benchmark problems for option pricing. We provide a detailed description of the six benchmark problems together with methods to compute reference solutions. We have implemented fifteen different numerical methods for these problems, and compare their relative performance. All implementations are available on line and can be used for future development and comparisons.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 23
ISSN:0020-7160
1029-0265
1029-0265
DOI:10.1080/00207160.2015.1072172