4,105
Views
48
CrossRef citations to date
0
Altmetric
SECTION B

BENCHOP – The BENCHmarking project in option pricingFootnote

, , , , , , , , , , , , , , , , & show all
Pages 2361-2379 | Received 30 Jan 2015, Accepted 23 Jun 2015, Published online: 21 Sep 2015
 

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.

2010 AMS Subject Classifications:

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.

Log in via your institution

Log in to Taylor & Francis Online

PDF download + Online access

  • 48 hours access to article PDF & online version
  • Article PDF can be downloaded
  • Article PDF can be printed
USD 61.00 Add to cart

Issue Purchase

  • 30 days online access to complete issue
  • Article PDFs can be downloaded
  • Article PDFs can be printed
USD 1,129.00 Add to cart

* Local tax will be added as applicable

Related Research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.