BENCHOP -- SLV: the BENCHmarking project in option pricing -- stochastic and local volatility problems (Q5031725)
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scientific article; zbMATH DE number 7474750
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| English | BENCHOP -- SLV: the BENCHmarking project in option pricing -- stochastic and local volatility problems |
scientific article; zbMATH DE number 7474750 |
Statements
BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems (English)
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16 February 2022
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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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0.8785744905471802
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0.7402200102806091
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0.7390543818473816
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0.7312912940979004
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0.7277275919914246
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