The BENCHmarking project in OPtion pricing

Dnr:

SNIC 2015/6-159

Type:

SNAC Small

Principal Investigator:

Slobodan Milovanovic

Affiliation:

Uppsala universitet

Start Date:

2015-11-16

End Date:

2018-01-16

Primary Classification:

10105: Beräkningsmatematik

Webpage:

http://www.it.uu.se/research/project/compfin/benchop

Allocation

Abstract

The purpose of BENCHOP is to provide a set of benchmark problems that can be used for comparing methods and evaluating new methods. Implementations in MATLAB of standard methods to compare against are also provided. All MATLAB-implementations will be available to everybody at www.it.uu.se/research/project/compfin/benchop. Any use of the code in the future is expected to be adequatly cited. The aim of BENCHOP is to serve as a take off for future development of methods in option pricing. We expect that future papers in the field will compare method performances with the methods and codes in BENCHOP. Thanks to this, we believe that we will contribute to a more uniform comparison and understanding of different methods' pros and cons in the future.