BENCHOP – The BENCHmarking project in option pricing

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Authors

Lina von Sydow · Uppsala University

Lars Josef Höök · Uppsala University

Elisabeth Larsson · Uppsala University

Erik Lindström · Lund University

Slobodan Milovanović · Uppsala University

Jonas Persson

Victor Shcherbakov · Uppsala University

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

Topics & Keywords

Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

UN Sustainable Development Goals

Industry, innovation and infrastructure

Publication Details

Published in: International Journal of Computer Mathematics

Volume 92, Issue 12, pp. 2361-2379

DOI: 10.1080/00207160.2015.1072172

Field-Weighted Citation Impact: 18.15