The BENCHmarking project in OPtion pricing

Dnr:

SNIC 2017/1-236

Type:

SNAC Medium

Principal Investigator:

Lina von Sydow

Affiliation:

Uppsala universitet

Start Date:

2017-05-12

End Date:

2018-06-01

Primary Classification:

10105: Beräkningsmatematik

Webpage:

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

Allocation

Abstract

The purpose and aim of BENCHOP is to provide sets of benchmark problems that can be used for comparison and evaluation of methods and 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 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. The original BENCHOP started as a joint international project set up at a workshop on Mathematical and Numerical Modeling in Finance at Institut Mittag-Leffler. The first publication BENCHOP—The BENCHmarking project in Option Pricing. Lina von Sydow, Lars Josef Höök, Elisabeth Larsson, Erik Lindström, Slobodan Milovanovic, Jonas Persson, Victor Shcherbakov, Yuri Shpolyanskiy, Samuel Sirén, Jari Toivanen, Johan Waldén, Magnus Wiktorsson, Jeremy Levesley, Juxi Li, Cornelis W. Oosterlee, Maria J. Ruijter, Alexander Toropov, and Yangzhang Zhao. In International Journal of Computer Mathematics, volume 92, pp 2361-2379, 2015. (DOI). was less than a year after it was published the most read article in International Journal of Computer Mathematics. You find all information about the original BENCHOP project together with MATLAB-code here. Now we have continued this successful collaboration with BENCHOP - complex models and beyond.