@article{8d3f967cdc344240861a67fea8912a5f,
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",
}