BENCHOP – The BENCHmarking project in option pricing

DOI10.1080/00207160.2015.1072172zbMath1335.91113WikidataQ60511932 ScholiaQ60511932MaRDI QIDQ2804496

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

zbMATH Keywords

finite difference method; numerical methods; option pricing; Monte Carlo method; radial basis function; Fourier method; benchmark problem

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

91-04: Software, source code, etc. for problems pertaining to game theory, economics, and finance

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