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

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