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
Additional Metadata
THEME Null option (theme 11)
Publisher Taylor&Francis
Persistent URL dx.doi.org/10.1080/00207160.2015.1072172
Journal International Journal of Computational Mathematics
Citation
von Sydow, L, Höök, L.J, Larsson, E, Lindström, E, Molanovic, S, Persson, J, … Li, J. (2015). BENCHOP - The BENCHmarking project in Option Pricing. International Journal of Computational Mathematics, 92(12), 2361–2379. doi:10.1080/00207160.2015.1072172