BENCHOP – The BENCHmarking project in option pricing

DOI10.1080/00207160.2015.1072172zbMath1335.91113DBLPjournals/ijcm/SydowHLLMPSSSTW15OpenAlexW2105581256WikidataQ60511932 ScholiaQ60511932MaRDI QIDQ2804496

Samuel Sirén, Johan Walden, Slobodan Milovanović, Yuri Shpolyanskiy, Erik Lindström, Victor Shcherbakov, Elisabeth Larsson, M. J. Ruijter, Jari Toivanen, Magnus Wiktorsson, Juxi Li, Lina von Sydow, Yangzhang Zhao, Jonas Persson, Lars Josef Höök, Alexander Toropov, Jeremy Levesley, Cornelis W. Oosterlee

Publication date: 29 April 2016

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/23947

zbMATH Keywords

finite difference methodnumerical methodsoption pricingMonte Carlo methodradial basis functionFourier methodbenchmark problem

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

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