BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems (Q5031725): Difference between revisions

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scientific article; zbMATH DE number 7474750

Language	Label	Description	Also known as
English	BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems	scientific article; zbMATH DE number 7474750

Statements

instance of

scholarly article

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title

BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems (English)

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Cornelis W. Oosterlee

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published in

International Journal of Computer Mathematics

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publication date

16 February 2022

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zbMATH Keywords

option pricing

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stochastic and local volatility

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numerical methods

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benchmark problem

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stochastic differential equation

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partial differential equation

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characteristic function

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/00207160.2018.1544368

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cites work

Q3331506

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On the role of polynomials in RBF-FD approximations: II. Numerical solution of elliptic PDEs

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Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes

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Sequential calibration of options

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A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL

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Boundary conditions for the single-factor term structure equation

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Two singular diffusion problems

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Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models

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On the role of polynomials in RBF-FD approximations. I: Interpolation and accuracy

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Multilevel Monte Carlo Path Simulation

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Calculation of Gauss Quadrature Rules

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On the Heston Model with Stochastic Interest Rates

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The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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ADI finite difference schemes for option pricing in the Heston model with correlation

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Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms

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The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks

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On an efficient multiple time step Monte Carlo simulation of the SABR model

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Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results

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Boundary conditions for computing densities in hybrid models via PDE methods

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Radial basis function generated finite differences for option pricing problems

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EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS

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Radial basis function partition of unity operator splitting method for pricing multi-asset American options

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Radial basis function partition of unity methods for pricing vanilla basket options

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BENCHOP – The BENCHmarking project in option pricing

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Identifiers

zbMATH Open document ID

1499.91177

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DOI

10.1080/00207160.2018.1544368

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5031725

@@ Property / author @@
-Karel J. in 't Hout
@@ Property / author: Karel J. in 't Hout / rank @@
-Normal rank
@@ Property / author @@
-Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
-Normal rank
@@ Property / author @@
+Karel J. in 't Hout
@@ Property / author: Karel J. in 't Hout / rank @@
+Normal rank
@@ Property / author @@
+Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/00207160.2018.1544368
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+W2886327905
@@ Property / OpenAlex ID: W2886327905 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3331506
@@ Property / cites work: Q3331506 / rank @@
+Normal rank
@@ Property / cites work @@
+On the role of polynomials in RBF-FD approximations: II. Numerical solution of elliptic PDEs
+Normal rank
@@ Property / cites work @@
+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
+Normal rank
@@ Property / cites work @@
+Sequential calibration of options
@@ Property / cites work: Sequential calibration of options / rank @@
+Normal rank
@@ Property / cites work @@
+A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL
+Normal rank
@@ Property / cites work @@
+Boundary conditions for the single-factor term structure equation
+Normal rank
@@ Property / cites work @@
+Two singular diffusion problems
@@ Property / cites work: Two singular diffusion problems / rank @@
+Normal rank
@@ Property / cites work @@
+Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models
+Normal rank
@@ Property / cites work @@
+On the role of polynomials in RBF-FD approximations. I: Interpolation and accuracy
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Calculation of Gauss Quadrature Rules
@@ Property / cites work: Calculation of Gauss Quadrature Rules / rank @@
+Normal rank
@@ Property / cites work @@
+On the Heston Model with Stochastic Interest Rates
+Normal rank
@@ Property / cites work @@
+The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+ADI finite difference schemes for option pricing in the Heston model with correlation
+Normal rank
@@ Property / cites work @@
+Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
+Normal rank
@@ Property / cites work @@
+The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
+Normal rank
@@ Property / cites work @@
+On an efficient multiple time step Monte Carlo simulation of the SABR model
+Normal rank
@@ Property / cites work @@
+Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
+Normal rank
@@ Property / cites work @@
+Boundary conditions for computing densities in hybrid models via PDE methods
+Normal rank
@@ Property / cites work @@
+Radial basis function generated finite differences for option pricing problems
+Normal rank
@@ Property / cites work @@
+EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS
+Normal rank
@@ Property / cites work @@
+Radial basis function partition of unity operator splitting method for pricing multi-asset American options
+Normal rank
@@ Property / cites work @@
+Radial basis function partition of unity methods for pricing vanilla basket options
+Normal rank
@@ Property / cites work @@
+BENCHOP – The BENCHmarking project in option pricing
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5031725