BENCHOP – The BENCHmarking project in option pricing

L. von Sydow; L. Josef Höök; E. Larsson; E. Lindström; S. Milovanović; J. Persson; V. Shcherbakov; Y. Shpolyanskiy; S. Sirén; J. Toivanen; J. Waldén; M. Wiktorsson; J. Levesley; J. Li; C.W. Oosterlee; M.J. Ruijter; A. Toropov; Y. Zhao

doi:10.1080/00207160.2015.1072172

BENCHOP – The BENCHmarking project in option pricing

L. von Sydow
, L. Josef Höök
, E. Larsson
, E. Lindström
, S. Milovanović
, J. Persson
, V. Shcherbakov
, Y. Shpolyanskiy
, S. Sirén
, J. Toivanen
, J. Waldén
, M. Wiktorsson
, J. Levesley
, J. Li
, C.W. Oosterlee
, M.J. Ruijter
, A. Toropov
, Y. Zhao

extern

Research output: Contribution to journal › Article › Academic › peer-review

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 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.

Original language	English
Pages (from-to)	2361-2379
Journal	International Journal of Computer Mathematics
Volume	92
Issue number	12
DOIs	https://doi.org/10.1080/00207160.2015.1072172
Publication status	Published - 2015
Externally published	Yes

Keywords

option pricing
numerical methods
benchmark problem
Monte Carlo method
Fouriermethod
finite difference method
radial basis function

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10.1080/00207160.2015.1072172

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von Sydow, L., Josef Höök, L., Larsson, E., Lindström, E., Milovanović, S., Persson, J., Shcherbakov, V., Shpolyanskiy, Y., Sirén, S., Toivanen, J., Waldén, J., Wiktorsson, M., Levesley, J., Li, J., Oosterlee, C. W., Ruijter, M. J., Toropov, A., & Zhao, Y. (2015). BENCHOP – The BENCHmarking project in option pricing. International Journal of Computer Mathematics, 92(12), 2361-2379 . https://doi.org/10.1080/00207160.2015.1072172

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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 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 = "option pricing, numerical methods, benchmark problem, Monte Carlo method, Fouriermethod, finite difference method, radial basis function",

author = "\{von Sydow\}, L. and \{Josef H{\"o}{\"o}k\}, L. and E. Larsson and E. Lindstr{\"o}m and S. Milovanovi{\'c} and J. Persson and V. Shcherbakov and Y. Shpolyanskiy and S. Sir{\'e}n and J. Toivanen and J. Wald{\'e}n and M. Wiktorsson and J. Levesley and J. Li and C.W. Oosterlee and M.J. Ruijter and A. Toropov and Y. Zhao",

year = "2015",

doi = "10.1080/00207160.2015.1072172",

language = "English",

volume = "92",

pages = "2361--2379 ",

journal = "International Journal of Computer Mathematics",

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von Sydow, L, Josef Höök, L, Larsson, E, Lindström, E, Milovanović, S, Persson, J, Shcherbakov, V, Shpolyanskiy, Y, Sirén, S, Toivanen, J, Waldén, J, Wiktorsson, M, Levesley, J, Li, J, Oosterlee, CW, Ruijter, MJ, Toropov, A & Zhao, Y 2015, 'BENCHOP – The BENCHmarking project in option pricing', International Journal of Computer Mathematics, vol. 92, no. 12, pp. 2361-2379 . https://doi.org/10.1080/00207160.2015.1072172

TY - JOUR

T1 - BENCHOP – The BENCHmarking project in option pricing

AU - von Sydow, L.

AU - Josef Höök, L.

AU - Larsson, E.

AU - Lindström, E.

AU - Milovanović, S.

AU - Persson, J.

AU - Shcherbakov, V.

AU - Shpolyanskiy, Y.

AU - Sirén, S.

AU - Toivanen, J.

AU - Waldén, J.

AU - Wiktorsson, M.

AU - Levesley, J.

AU - Li, J.

AU - Oosterlee, C.W.

AU - Ruijter, M.J.

AU - Toropov, A.

AU - Zhao, Y.

PY - 2015

Y1 - 2015

N2 - 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.

AB - 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.

KW - option pricing

KW - numerical methods

KW - benchmark problem

KW - Monte Carlo method

KW - Fouriermethod

KW - finite difference method

KW - radial basis function

UR - https://www.scopus.com/pages/publications/84946532294

U2 - 10.1080/00207160.2015.1072172

DO - 10.1080/00207160.2015.1072172

M3 - Article

SN - 0020-7160

VL - 92

SP - 2361

EP - 2379

JO - International Journal of Computer Mathematics

JF - International Journal of Computer Mathematics

IS - 12

ER -

BENCHOP – The BENCHmarking project in option pricing

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