BENCHOP -- the benchmarking project in option pricing
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Publication:2804496
DOI10.1080/00207160.2015.1072172zbMATH Open1335.91113DBLPjournals/ijcm/SydowHLLMPSSSTW15OpenAlexW2105581256WikidataQ60511932 ScholiaQ60511932MaRDI QIDQ2804496FDOQ2804496
Samuel Sirén, Johan Walden, Slobodan Milovanović, Yuri Shpolyanskiy, Jeremy Levesley, Erik Lindström, Victor Shcherbakov, Elisabeth Larsson, M. J. Ruijter, Jari Toivanen, Magnus Wiktorsson, Juxi Li, Lina von Sydow, Cornelis W. Oosterlee, Yangzhang Zhao, Jonas Persson, L. J. Höök, Alexander Toropov
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
Recommendations
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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Cited In (43)
- 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
- Generalized finite integration method with Laplace transform for European option pricing under Black-Scholes and Heston models
- An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
- Preconditioning for radial basis function partition of unity methods
- Pricing multi-asset option problems: a Chebyshev pseudo-spectral method
- 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
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- An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options
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- Uncertainty Quantification of Derivative Instruments
- Convergence of the two point flux approximation method and the fitted two point flux approximation method for options pricing with local volatility function
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- 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
- A Least Squares Radial Basis Function Partition of Unity Method for Solving PDEs
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems
- VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS
- BENCHOP
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
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- DISCRETIZATION PROCESSING OF FINANCIAL RISK MANAGEMENT USING STOCHASTIC DIFFERENTIAL EQUATION SIMULATION METHOD
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- A Local Radial Basis Function Method for High-Dimensional American Option Pricing Problems
- An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes
- Radial basis function generated finite differences for option pricing problems
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