BENCHOP – The BENCHmarking project in option pricing

^†The list of authors is organized in the following way: Project leader; Main contributors in alphabetical order; Code contributors in alphabetical order.

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

2010 AMS Subject Classifications:

• 65-02
• 91G60
• 91G20

Acknowledgments

We would like to thank Institut Mittag-Leffler for supporting the workshop we organized on ‘Mathematical and Numerical modeling in Finance’ (http://www.mittag-leffler.se/?q=0609), where the idea for the BENCHOP project was conceived and where the work was initiated.

Disclosure statement

No potential conflict of interest was reported by the authors.

Funding

The computations were performed on resources provided by the Swedish National Infrastructure for Computing (SNIC) through Uppsala Multidisciplinary Center for Advanced Computational Science (UPPMAX) under Project snic2014-3-73.

Notes

^† The list of authors is organized in the following way: Project leader; Main contributors in alphabetical order; Code contributors in alphabetical order.