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BENCHOP—The BENCHmarking project in Option Pricing

von Sydow, Lina; Höök, Lars Josef; Larsson, Elisabeth; Lindström, Erik LU ; Milovanović, Slobodan; Persson, Jonas; Shcherbakov, Victor; Shpolyanskiy, Yuri; Sirén, Samuel and Toivanen, Jari, et al. (2015) In International Journal of Computer Mathematics 92(12). p.2361-2379
Abstract
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 seventeen 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.
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organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
radial basis function, finite difference method, Fourier method, Monte Carlo method, benchmark problem, numerical methods, Option pricing
in
International Journal of Computer Mathematics
volume
92
issue
12
pages
2361 - 2379
publisher
Taylor & Francis
external identifiers
  • wos:000363753800003
  • scopus:84946532294
ISSN
1029-0265
DOI
10.1080/00207160.2015.1072172
language
English
LU publication?
yes
id
8d3f967c-dc34-4240-861a-67fea8912a5f (old id 7855565)
date added to LUP
2015-09-09 12:25:34
date last changed
2017-10-08 03:21:45
@article{8d3f967c-dc34-4240-861a-67fea8912a5f,
  abstract     = {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 seventeen 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.},
  author       = {von Sydow, Lina and Höök, Lars Josef and Larsson, Elisabeth and Lindström, Erik and Milovanović, Slobodan and Persson, Jonas and Shcherbakov, Victor and Shpolyanskiy, Yuri and Sirén, Samuel and Toivanen, Jari and Waldén, Johan and Wiktorsson, Magnus and Jeremy Levesley, Jeremy and Li, Juxi and Oosterlee, Cornelis W. and Ruijter, Maria J. and Toropov, Alexander and Zhao, Yangzhang},
  issn         = {1029-0265},
  keyword      = {radial basis function,finite difference method,Fourier method,Monte Carlo method,benchmark problem,numerical methods,Option pricing},
  language     = {eng},
  number       = {12},
  pages        = {2361--2379},
  publisher    = {Taylor & Francis},
  series       = {International Journal of Computer Mathematics},
  title        = {BENCHOP—The BENCHmarking project in Option Pricing},
  url          = {http://dx.doi.org/10.1080/00207160.2015.1072172},
  volume       = {92},
  year         = {2015},
}