BENCHOP swMATH ID: 14867 Software Authors: von Sydow, Lina; Hoök, Lars Josef; Larsson, Elisabeth; Lindström, Erik; Milovanovic, Slobodan; Persson, Jonas; Shcherbakov, Victor; Shpolyanskiy, Yuri; Siren, Samuel; Toivanen, Jari; Walden, Johan; Wiktorsson, Magnus; Levesley, Jeremy; Li, Juxi; Oosterlee, Cornelis W.; Ruijter, Maria J.; Toropov, Alexander; Zhao, Yangzhang Description: BENCHOP - the benchmarking project in option pricing. 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. Homepage: http://www.tandfonline.com/doi/abs/10.1080/00207160.2015.1072172 Keywords: option pricing; numerical methods; benchmark problem; Monte Carlo method; Fourier method; finite difference method; radial basis function Related Software: Matlab; rbf_qr; Chebfun; MATLAB expm; mftoolbox; Mathematica; Spinterp; Sinc-Pack; NDSolve; OPQ; DLMF; ApproxFun; GitHub; pychebfun; phipm; CentPack; MATLAB ODE suite; ode23s; ode113; Ode15s Cited in: 38 Publications Standard Articles 2 Publications describing the Software, including 2 Publications in zbMATH Year BENCHOP – SLV: the BENCHmarking project in option pricing – stochastic and local volatility problems. Zbl 1499.91177von Sydow, Lina; Milovanović, Slobodan; Larsson, Elisabeth; In’t Hout, Karel; Wiktorsson, Magnus; Oosterlee, Cornelis W.; Shcherbakov, Victor; Wyns, Maarten; Leitao, Alvaro; Jain, Shashi; Haentjens, Tinne; Waldén, Johan 2019 BENCHOP – the benchmarking project in option pricing. Zbl 1335.91113von Sydow, Lina; Höök, Lars Josef; Larsson, Elisabeth; Lindström, Erik; Milovanović, Slobodan; Persson, Jonas; Shcherbakov, Victor; Shpolyanskiy, Yuri; Sirén, Samuel; Toivanen, Jari; Waldén, Johan; Wiktorsson, Magnus; Levesley, Jeremy; Li, Juxi; Oosterlee, Cornelis W.; Ruijter, Maria J.; Toropov, Alexander; Zhao, Yangzhang 2015 all top 5 Cited by 72 Authors 6 Oosterlee, Cornelis Willebrordus 5 Soleymani, Fazlollah 5 von Sydow, Lina 4 Larsson, Elisabeth 4 Milovanović, Slobodan 4 Shcherbakov, Victor 3 Chan, Tat Lung (Ron) 3 Glau, Kathrin 2 Barfeie, Mahdiar 2 Choi, Jaehyuk 2 Heryudono, Alfa R. H. 2 Höök, Lars Josef 2 in ’t Hout, Karel J. 2 Lindström, Erik 2 Pospíšil, Jan 2 Pötz, Christian 2 Vanmaele, Michèle 2 Waldén, Johan 2 Wiktorsson, Magnus 2 Wu, Lixin 1 Akgül, Ali 1 Baustian, Falko 1 Bhatoo, Omishwary 1 Boen, Lynn 1 Boonstra, Boris C. 1 Borovykh, Anastasia 1 Colldeforns-Papiol, Gemma 1 Company, Rafael 1 Crisóstomo, Ricardo 1 Daveloose, Catherine 1 Egorova, Vera N. 1 Filipová, Kateřina 1 Gaß, Maximilian 1 Gustafsson, Bertil 1 Haentjens, Tinne 1 Haghani, Farhad Khaksar 1 Hale, Nicholas 1 Jain, Shashi 1 Jebreen, Haifa Bin 1 Jódar Sanchez, Lucas Antonio 1 Khadidos, Alaa Omar 1 Khedher, Asma 1 Leitao, Álvaro 1 Levesley, Jeremy 1 Li, Juxi 1 Liu, Qi 1 Mahlstedt, Mirco 1 Mair, Maximilian L. 1 Ortiz-Gracia, Luis 1 Pachón, Ricardo 1 Pascucci, Andrea 1 Peer, Arshad Ahmud Iqbal 1 Persson, Jonas 1 Ramage, Alison 1 Ruijter, Maria J. 1 Saib, Aslam Aly El Faidal 1 Shpolyanskiy, Yuri 1 Sirén, Samuel 1 Sun, Xianming 1 Švígler, Vladimír 1 Tadmor, Eitan 1 Tangman, Désiré Yannick 1 Tohidi, Emran 1 Toivanen, Jari 1 Toropov, Alexander 1 Ullah, Malik Zaka 1 van der Have, Z. 1 Veygman, A. 1 Wan, Pengbo 1 Wyns, Maarten 1 Yang, Yin 1 Zhao, Yangzhang all top 5 Cited in 24 Serials 5 International Journal of Computer Mathematics 5 Quantitative Finance 3 Journal of Computational and Applied Mathematics 2 Computers & Mathematics with Applications 2 Applied Mathematics and Computation 2 BIT 2 SIAM Journal on Scientific Computing 1 Journal of Mathematical Analysis and Applications 1 Chaos, Solitons and Fractals 1 Mathematics and Computers in Simulation 1 Stochastic Analysis and Applications 1 Applied Numerical Mathematics 1 Journal of Economic Dynamics & Control 1 Journal of Scientific Computing 1 Applications of Mathematics 1 Computational Statistics and Data Analysis 1 Fractals 1 Vietnam Journal of Mathematics 1 International Journal of Theoretical and Applied Finance 1 Communications in Nonlinear Science and Numerical Simulation 1 Mathematical Modelling and Analysis 1 Texts in Computational Science and Engineering 1 SIAM Journal on Financial Mathematics 1 East Asian Journal on Applied Mathematics all top 5 Cited in 12 Fields 33 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 26 Numerical analysis (65-XX) 13 Probability theory and stochastic processes (60-XX) 10 Partial differential equations (35-XX) 2 Approximations and expansions (41-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Statistics (62-XX) 1 History and biography (01-XX) 1 Functions of a complex variable (30-XX) 1 Special functions (33-XX) 1 Integral equations (45-XX) 1 Operations research, mathematical programming (90-XX) Citations by Year