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

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

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

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

Subject classification (UKÄ)

Computational Mathematics

Free keywords

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

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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., Jeremy 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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title = "BENCHOP—The BENCHmarking project in Option Pricing",

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.",

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

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}, Jeremy 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",

volume = "92",

pages = "2361--2379",

journal = "International Journal of Computer Mathematics",

issn = "1029-0265",

publisher = "Taylor & Francis",

number = "12",

}

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, Jeremy 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 - Jeremy 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 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.

AB - 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.

KW - radial basis function

KW - finite difference method

KW - Fourier method

KW - Monte Carlo method

KW - benchmark problem

KW - numerical methods

KW - Option pricing

U2 - 10.1080/00207160.2015.1072172

DO - 10.1080/00207160.2015.1072172

M3 - Article

SN - 1029-0265

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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Subject classification (UKÄ)

Free keywords

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