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 Jeremy Levesley, Juxi Li, Cornelis W. Oosterlee, Maria J. Ruijter, Alexander Toropov, Yangzhang Zhao

Research output: Contribution to journalArticlepeer-review

46 Citations (SciVal)

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

Subject classification (UKÄ)

  • Computational Mathematics

Keywords

  • radial basis function
  • finite difference method
  • Fourier method
  • Monte Carlo method
  • benchmark problem
  • numerical methods
  • Option pricing

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