Articlegreen2015

BENCHOP – The BENCHmarking project in option pricing

Lina von Sydow · Lars Josef Höök · Elisabeth Larsson · Erik Lindström · Slobodan Milovanović · Jonas Persson +11 more

64 citations0/0 files storedInternational Journal of Computer Mathematics

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Stochastic processes and financial applications Numerical methods for differential equations Mathematical Approximation and Integration

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.

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1976Option pricing when underlying stock returns are discontinuous 2003Monte Carlo Methods in Financial Engineering 2001Empirical properties of asset returns: stylized facts and statistical issues 2001Valuing American Options by Simulation: A Simple Least-Squares Approach

Cited by

2016Radial basis function partition of unity operator splitting method for pricing multi-asset American options 2019Improved numerical solution of multi-asset option pricing problem: A localized RBF-FD approach

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