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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Veröffentlicht in:	International journal of computer mathematics 2015-12, Vol.92 (12), p.2361-2379
Hauptverfasser:	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:	Artikel
Sprache:	eng
Schlagworte:	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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Beschreibung
Zusammenfassung:	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.
ISSN:	0020-7160 1029-0265 1029-0265
DOI:	10.1080/00207160.2015.1072172