BENCHOP -- the benchmarking project in option pricing
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Publication:2804496
option pricingfinite difference methodMonte Carlo methodnumerical methodsFourier methodradial basis functionbenchmark problem
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
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Cites work
- scientific article; zbMATH DE number 3863589 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A guide to RBF-generated finite differences for nonlinear transport: shallow water simulations on a sphere
- A novel pricing method for European options based on Fourier-cosine series expansions
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- An IMEX-scheme for pricing options under stochastic volatility models with jumps
- Arbitrage Theory in Continuous Time
- Arbitrage-free SVI volatility surfaces
- Comparison of numerical and analytical approximations of the early exercise boundary of American put options
- Conditioning on One-Step Survival for Barrier Option Simulations
- Constructions of \((t,m,s)\)-nets and \((t,s)\)-sequences
- EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS
- Finite element solution of diffusion problems with irregular data
- Grid-free adaptive semi-Lagrangian advection using radial basis functions
- IMEX schemes for pricing options under jump-diffusion models
- Improved radial basis function methods for multi-dimensional option pricing
- Multiscale analysis in Sobolev spaces on bounded domains with zero boundary values
- Multiscale approximation for functions in arbitrary Sobolev spaces by scaled radial basis functions on the unit sphere
- Numerical solution of stochastic differential equations with jumps in finance
- On the transport-diffusion algorithm and its applications to the Navier-Stokes equations
- On using radial basis functions in a ``finite difference mode with applications to elasticity problems
- Operator splitting methods for American option pricing.
- Option pricing when underlying stock returns are discontinuous
- Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
- Pricing American options using a space-time adaptive finite difference method
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Scattered node compact finite difference-type formulas generated from radial basis functions
- Sequential calibration of options
- Stabilization of RBF-generated finite difference methods for convective PDEs
- Stylised facts of financial time series and hidden Markov models in continuous time
- The pricing of options and corporate liabilities
- Two-dimensional Fourier cosine series expansion method for pricing financial options
- Valuing American options by simulation: a simple least-squares approach
Cited in
(43)- Radial basis function generated finite differences for option pricing problems
- New model for pricing quanto credit default swaps
- Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series
- Magic Points in Finance: Empirical Integration for Parametric Option Pricing
- OptAn - a pilot program system for analysis of options
- Speed-up credit exposure calculations for pricing and risk management
- An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
- Generalized finite integration method with Laplace transform for European option pricing under Black-Scholes and Heston models
- Pricing multi-asset option problems: a Chebyshev pseudo-spectral method
- Preconditioning for radial basis function partition of unity methods
- A high order method for pricing of financial derivatives using radial basis function generated finite differences
- Pricing Bermudan options under local Lévy models with default
- A Gaussian radial basis function-finite difference technique to simulate the HCIR equation
- Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach
- Discretization processing of financial risk management using stochastic differential equation simulation method
- An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes
- An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options
- The COS method for option valuation under the SABR dynamics
- A local radial basis function method for high-dimensional American option pricing problems
- Radial basis function partition of unity operator splitting method for pricing multi-asset American options
- Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options
- Convergence of the two point flux approximation method and the fitted two point flux approximation method for options pricing with local volatility function
- Inverse multi-quadric RBF for computing the weights of FD method: application to American options
- Speed and biases of Fourier-based pricing choices: a numerical analysis
- BENCHOP
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
- VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS
- Valuation of electricity storage contracts using the COS method
- A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options
- Isogeometric analysis in option pricing
- Efficient computation of the quasi likelihood function for discretely observed diffusion processes
- Uncertainty quantification of derivative instruments
- Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting
- On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE
- Conservative third-order central-upwind schemes for option pricing problems
- On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs
- Singular Fourier-Padé series expansion of European option prices
- Solution of option pricing equations using orthogonal polynomial expansion.
- A New Approach for American Option Pricing: The Dynamic Chebyshev Method
- scientific article; zbMATH DE number 2087989 (Why is no real title available?)
- A least squares radial basis function partition of unity method for solving PDEs
- BENCHOP -- SLV: the BENCHmarking project in option pricing -- stochastic and local volatility problems
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