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International Journal of Computer Mathematics Volume 96, 2019 - Issue 10
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Original Articles

BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems

Lina von SydowDepartment of Information Technology, Uppsala University, Uppsala, SwedenCorrespondence[email protected]
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Slobodan MilovanovićDepartment of Information Technology, Uppsala University, Uppsala, SwedenView further author information
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Elisabeth LarssonDepartment of Information Technology, Uppsala University, Uppsala, SwedenView further author information
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Karel In't HoutDepartment of Mathematics and Computer Science, University of Antwerp, Antwerp, BelgiumView further author information
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Magnus WiktorssonCentre for Mathematical Sciences, Lund University, Lund, SwedenView further author information
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Cornelis W. OosterleeCentrum Wiskunde & Informatica, Amsterdam, The Netherlands;Delft Institute of Applied Mathematics, Delft University of Technology, Delft, The NetherlandsView further author information
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Victor ShcherbakovDepartment of Information Technology, Uppsala University, Uppsala, SwedenView further author information
,
Maarten WynsDepartment of Mathematics and Computer Science, University of Antwerp, Antwerp, BelgiumView further author information
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Alvaro LeitaoCentrum Wiskunde & Informatica, Amsterdam, The Netherlands;Barcelona Graduate School of Mathematics, Barcelona, SpainView further author information
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Shashi JainCentrum Wiskunde & Informatica, Amsterdam, The Netherlands;Department of Management Studies, Indian Institute of Science, Bangalore, IndiaView further author information
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Tinne HaentjensDepartment of Mathematics and Computer Science, University of Antwerp, Antwerp, BelgiumView further author information
&
Johan WaldénHaas School of Business, University of California Berkeley, Berkeley, CA, USAView further author information
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Pages 1910-1923 | Received 18 Jul 2018, Accepted 13 Oct 2018, Published online: 15 Nov 2018

Citations (8)

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Read on this site (1)

Jaehyuk Choi & Lixin Wu. (2021) A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’. Quantitative Finance 21:7, pages 1083-1086.
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Articles from other publishers (7)

HERMANN AZEMTSA DONFACK, CELESTIN WAFO SOH & ANTONIE KOTZE. (2023) VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS. International Journal of Theoretical and Applied Finance 25:07n08.
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Fazlollah Soleymani & Shengfeng Zhu. (2021) On a high-order Gaussian radial basis function generated Hermite finite difference method and its application. Calcolo 58:4.
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Jaehyuk Choi & Lixin Wu. (2021) The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model. Journal of Economic Dynamics and Control 128, pages 104143.
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Lynn Boen & Karel J. in ’t Hout. (2021) Operator splitting schemes for the two-asset Merton jump–diffusion model. Journal of Computational and Applied Mathematics 387, pages 112309.
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Slobodan Milovanović & Lina von Sydow. (2020) A high order method for pricing of financial derivatives using Radial Basis Function generated Finite Differences. Mathematics and Computers in Simulation 174, pages 205-217.
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Jaehyuk Choi & Lixin Wu. (2020) A Note on the Option Price and 'Mass at Zero in the Uncorrelated SABR Model and Implied Volatility Asymptotics'. SSRN Electronic Journal.
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Jaehyuk Choi & Lixin Wu. (2019) The Equivalent Constant-Elasticity-of-Variance (CEV) Volatility of the Stochastic-Alpha-Beta-Rho (SABR) Model. SSRN Electronic Journal.
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