BENCHOP – The BENCHmarking project in option pricing (Q2804496)

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BENCHOP – The BENCHmarking project in option pricing
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    title
    BENCHOP – The BENCHmarking project in option pricing (English)
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    author
    Lina von Sydow
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    Lars Josef Höök
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    Elisabeth Larsson
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    Erik Lindström
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    Slobodan Milovanović
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    Jonas Persson
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    Victor Shcherbakov
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    Yuri Shpolyanskiy
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    Samuel Sirén
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    Jari Toivanen
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    Johan Walden
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    Magnus Wiktorsson
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    Juxi Li
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    M. J. Ruijter
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    Alexander Toropov
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    Yangzhang Zhao
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    Jeremy Levesley
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    Cornelis W. Oosterlee
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    publication date
    29 April 2016
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    Mathematics Subject Classification ID
    91G60
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    65M06
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    91G20
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    91-04
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    zbMATH DE Number
    6575425
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    zbMATH Keywords
    option pricing
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    numerical methods
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    benchmark problem
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    Monte Carlo method
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    Fourier method
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    finite difference method
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    radial basis function
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    Wikidata QID
    Q60511932
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