2015
BENCHOP - The BENCHmarking project in Option Pricing
Publication
Publication
International Journal of Computational Mathematics , Volume 92 - Issue 12 p. 2361- 2379
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 | |
|---|---|
| Taylor&Francis | |
| doi.org/10.1080/00207160.2015.1072172 | |
| International Journal of Computational Mathematics | |
| Organisation | Scientific Computing |
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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 |
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