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

Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskriftPeer review

46 Citeringar (SciVal)

Sammanfattning

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.
Originalspråkengelska
Sidor (från-till)2361-2379
TidskriftInternational Journal of Computer Mathematics
Volym92
Utgåva12
DOI
StatusPublished - 2015

Ämnesklassifikation (UKÄ)

  • Beräkningsmatematik

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