BENCHOP—The BENCHmarking project in Option Pricing
(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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/7855565
- author
- organization
- publishing date
- 2015
- 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
- 2016-04-01 11:07:09
- date last changed
- 2024-06-03 08:24:04
@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}}, keywords = {{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}}, doi = {{10.1080/00207160.2015.1072172}}, volume = {{92}}, year = {{2015}}, }