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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
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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
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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

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