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

Research output: Contribution to journalArticleScientificpeer-review

43 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 languageEnglish
Pages (from-to)2361-2379
Number of pages19
JournalInternational Journal of Computer Mathematics
Volume92
Issue number12
DOIs
Publication statusPublished - 2015

Keywords

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

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