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International Journal of Computer Mathematics Volume 92, 2015 - Issue 12: Computational Methods in Finance
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SECTION B

BENCHOP – The BENCHmarking project in option pricingFootnote

Lina von SydowDepartment of Information Technology, Uppsala University, Uppsala, SwedenCorrespondence[email protected]
,
Lars Josef HöökDepartment of Information Technology, Uppsala University, Uppsala, Sweden
,
Elisabeth LarssonDepartment of Information Technology, Uppsala University, Uppsala, Sweden
,
Erik LindströmCentre for Mathematical Sciences, Lund University, Lund, Sweden
,
Slobodan MilovanovićDepartment of Information Technology, Uppsala University, Uppsala, Sweden
,
Jonas PerssonSUNGARD FRONT ARENA, Stockholm, Sweden,  www.sungard.com/frontarena
,
Victor ShcherbakovDepartment of Information Technology, Uppsala University, Uppsala, Sweden
,
Yuri ShpolyanskiyORC GROUP, Stockholm, Sweden,  www.orc-group.com and ITMO University, St Petersburg, Russia
,
Samuel SirénSUNGARD FRONT ARENA, Stockholm, Sweden,  www.sungard.com/frontarena
,
Jari ToivanenDepartment of Mathematical Information Technology, University of Jyväskylä, Jyväskylä, Finland;The Institute for Computational and Mathematical Engineering (ICME), Stanford University, Stanford, CA, USA
,
Johan WaldénHaas School of Business, University of California Berkeley, Berkeley, CA, USA
,
Magnus WiktorssonCentre for Mathematical Sciences, Lund University, Lund, Sweden
,
Jeremy LevesleyDepartment of Mathematics, University of Leicester, Leicester, UK
,
Juxi LiDepartment of Mathematics, University of Leicester, Leicester, UK
,
Cornelis W. OosterleeCentrum Wiskunde & Informatica, Amsterdam, The Netherlands;Delft Institute of Applied Mathematics, Delft University of Technology, Delft, The Netherlands
,
Maria J. RuijterCentrum Wiskunde & Informatica, Amsterdam, The Netherlands
,
Alexander ToropovORC GROUP, Stockholm, Sweden,  www.orc-group.com and ITMO University, St Petersburg, Russia
&
Yangzhang ZhaoDepartment of Mathematics, University of Leicester, Leicester, UK
 show all
Pages 2361-2379 | Received 30 Jan 2015, Accepted 23 Jun 2015, Published online: 21 Sep 2015

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Kathrin Glau, Ricardo Pachon & Christian Pötz. (2021) Speed-up credit exposure calculations for pricing and risk management. Quantitative Finance 21:3, pages 481-499.
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Tat Lung (Ron) Chan & Nicholas Hale. (2020) Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series. Quantitative Finance 20:8, pages 1307-1324.
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Jan Pospíšil & Vladimír Švígler. (2019) Isogeometric analysis in option pricing. International Journal of Computer Mathematics 96:11, pages 2177-2200.
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Lina von Sydow, Slobodan Milovanović, Elisabeth Larsson, Karel In't Hout, Magnus Wiktorsson, Cornelis W. Oosterlee, Victor Shcherbakov, Maarten Wyns, Alvaro Leitao, Shashi Jain, Tinne Haentjens & Johan Waldén. (2019) BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems. International Journal of Computer Mathematics 96:10, pages 1910-1923.
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Ricardo Crisóstomo. (2018) Speed and biases of Fourier-based pricing choices: a numerical analysis. International Journal of Computer Mathematics 95:8, pages 1565-1582.
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Tat Lung (Ron) Chan. (2018) Singular Fourier–Padé series expansion of European option prices. Quantitative Finance 18:7, pages 1149-1171.
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Z. van der Have & C. W. Oosterlee. (2018) The COS method for option valuation under the SABR dynamics. International Journal of Computer Mathematics 95:2, pages 444-464.
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L. von Sydow, J. Toivanen & C. Zhang. (2015) Adaptive finite differences and IMEX time-stepping to price options under Bates model. International Journal of Computer Mathematics 92:12, pages 2515-2529.
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