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.
Keywords for this software
References in zbMATH (referenced in 3 articles , 1 standard article )
Showing results 1 to 3 of 3.
- Heryudono, Alfa; Larsson, Elisabeth; Ramage, Alison; von Sydow, Lina: Preconditioning for radial basis function partition of unity methods (2016)
- Shcherbakov, Victor: Radial basis function partition of unity operator splitting method for pricing multi-asset American options (2016)
- von 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: BENCHOP -- the benchmarking project in option pricing (2015)