BENCHOP – The BENCHmarking project in option pricing

Lina von Sydow; Lars Josef Höök; Elisabeth Larsson; Erik Lindström; Slobodan Milovanović; Jonas Persson; Victor Shcherbakov; Yuri Shpolyanskiy; Samuel Sirén; Jari Toivanen; Johan Waldén; Magnus Wiktorsson; Jeremy Levesley; Juxi Li; Cornelis W. Oosterlee; Maria J. Ruijter; Alexander Toropov; Yangzhang Zhao

doi:10.1080/00207160.2015.1072172

BENCHOP – The BENCHmarking project in option pricing

Lina von Sydow, Lars Josef Höök, Elisabeth Larsson, Erik Lindström, Slobodan Milovanović, Jonas Persson, Victor Shcherbakov, Yuri Shpolyanskiy, Samuel Sirén, Jari Toivanen, Johan Waldén, Magnus Wiktorsson, Jeremy Levesley, Juxi Li, Cornelis W. Oosterlee, Maria J. Ruijter, Alexander Toropov, Yangzhang Zhao

Numerical Analysis

Research output: Contribution to journal › Article › Scientific › peer-review

50 Citations (Scopus)

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 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.

Original language	English
Pages (from-to)	2361-2379
Number of pages	19
Journal	International Journal of Computer Mathematics
Volume	92
Issue number	12
DOIs	https://doi.org/10.1080/00207160.2015.1072172
Publication status	Published - 2015

Keywords

option pricing
numerical methods
benchmark problem
Monte Carlo method
Fouriermethod
finite difference method
radial basis function

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10.1080/00207160.2015.1072172

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von Sydow, L., Höök, L. J., Larsson, E., Lindström, E., Milovanović, S., Persson, J., Shcherbakov, V., Shpolyanskiy, Y., Sirén, S., Toivanen, J., Waldén, J., Wiktorsson, M., Levesley, J., Li, J., Oosterlee, C. W., Ruijter, M. J., Toropov, A., & Zhao, Y. (2015). BENCHOP – The BENCHmarking project in option pricing. International Journal of Computer Mathematics, 92(12), 2361-2379. https://doi.org/10.1080/00207160.2015.1072172

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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 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.",

keywords = "option pricing, numerical methods, benchmark problem, Monte Carlo method, Fouriermethod, finite difference method, radial basis function",

author = "{von Sydow}, Lina and H{\"o}{\"o}k, {Lars Josef} and Elisabeth Larsson and Erik Lindstr{\"o}m and Slobodan Milovanovi{\'c} and Jonas Persson and Victor Shcherbakov and Yuri Shpolyanskiy and Samuel Sir{\'e}n and Jari Toivanen and Johan Wald{\'e}n and Magnus Wiktorsson and Jeremy Levesley and Juxi Li and Oosterlee, {Cornelis W.} and Ruijter, {Maria J.} and Alexander Toropov and Yangzhang Zhao",

year = "2015",

doi = "10.1080/00207160.2015.1072172",

language = "English",

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von Sydow, L, Höök, LJ, Larsson, E, Lindström, E, Milovanović, S, Persson, J, Shcherbakov, V, Shpolyanskiy, Y, Sirén, S, Toivanen, J, Waldén, J, Wiktorsson, M, Levesley, J, Li, J, Oosterlee, CW, Ruijter, MJ, Toropov, A & Zhao, Y 2015, 'BENCHOP – The BENCHmarking project in option pricing', International Journal of Computer Mathematics, vol. 92, no. 12, pp. 2361-2379. https://doi.org/10.1080/00207160.2015.1072172

TY - JOUR

T1 - BENCHOP – The BENCHmarking project in option pricing

AU - von Sydow, Lina

AU - Höök, Lars Josef

AU - Larsson, Elisabeth

AU - Lindström, Erik

AU - Milovanović, Slobodan

AU - Persson, Jonas

AU - Shcherbakov, Victor

AU - Shpolyanskiy, Yuri

AU - Sirén, Samuel

AU - Toivanen, Jari

AU - Waldén, Johan

AU - Wiktorsson, Magnus

AU - Levesley, Jeremy

AU - Li, Juxi

AU - Oosterlee, Cornelis W.

AU - Ruijter, Maria J.

AU - Toropov, Alexander

AU - Zhao, Yangzhang

PY - 2015

Y1 - 2015

N2 - 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.

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KW - option pricing

KW - numerical methods

KW - benchmark problem

KW - Monte Carlo method

KW - Fouriermethod

KW - finite difference method

KW - radial basis function

UR - http://resolver.tudelft.nl/uuid://08de5b22-55d2-4443-971d-e952a61ee47e

U2 - 10.1080/00207160.2015.1072172

DO - 10.1080/00207160.2015.1072172

M3 - Article

SN - 0020-7160

VL - 92

SP - 2361

EP - 2379

JO - International Journal of Computer Mathematics

JF - International Journal of Computer Mathematics

IS - 12

ER -

BENCHOP – The BENCHmarking project in option pricing

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