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.

References in zbMATH (referenced in 28 articles , 1 standard article )

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  1. Boen, Lynn; in ’t Hout, Karel J.: Operator splitting schemes for the two-asset Merton jump-diffusion model (2021)
  2. Chan, Tat Lung (Ron): An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes (2020)
  3. Chan, Tat Lung (Ron); Hale, Nicholas: Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series (2020)
  4. Kirkby, J. Lars; Nguyen, Dang H.; Nguyen, Duy: A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (2020)
  5. Milovanović, Slobodan; von Sydow, Lina: A high order method for pricing of financial derivatives using radial basis function generated finite differences (2020)
  6. Ullah, Malik Zaka: An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations (2020)
  7. Yang, Yin; Soleymani, Fazlollah; Barfeie, Mahdiar; Tohidi, Emran: A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options (2020)
  8. Bhatoo, Omishwary; Peer, Arshad Ahmud Iqbal; Tadmor, Eitan; Tangman, Désiré Yannick; Saib, Aslam Aly El Faidal: Conservative third-order central-upwind schemes for option pricing problems (2019)
  9. Daveloose, Catherine; Khedher, Asma; Vanmaele, Michèle: Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting (2019)
  10. Glau, Kathrin; Mahlstedt, Mirco; Pötz, Christian: A new approach for American option pricing: the dynamic Chebyshev method (2019)
  11. Itkin, A.; Shcherbakov, V.; Veygman, A.: New model for pricing quanto credit default swaps (2019)
  12. Jebreen, Haifa Bin: A Gaussian radial basis function-finite difference technique to simulate the HCIR equation (2019)
  13. Soleymani, Fazlollah: Pricing multi-asset option problems: a Chebyshev pseudo-spectral method (2019)
  14. Soleymani, Fazlollah; Akgül, Ali: Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach (2019)
  15. Chan, Tat Lung (Ron): Singular Fourier-Padé series expansion of European option prices (2018)
  16. Gustafsson, Bertil: Scientific computing. A historical perspective (2018)
  17. Milovanović, Slobodan; von Sydow, Lina: Radial basis function generated finite differences for option pricing problems (2018)
  18. Soleymani, Fazlollah; Barfeie, Mahdiar; Haghani, Farhad Khaksar: Inverse multi-quadric RBF for computing the weights of FD method: application to American options (2018)
  19. van der Have, Z.; Oosterlee, C. W.: The COS method for option valuation under the SABR dynamics (2018)
  20. Borovykh, A.; Pascucci, A.; Oosterlee, C. W.: Pricing Bermudan options under local Lévy models with default (2017)

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