BENCHOP

swMATH14867MaRDI QIDQ26763FDOQ26763

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Described by source

• BENCHOP -- the benchmarking project in option pricing
• BENCHOP -- SLV: the BENCHmarking project in option pricing -- stochastic and local volatility problems

Cited In (37)

• 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
• Speed-up credit exposure calculations for pricing and risk management
• 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
• 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
• Operator splitting schemes for the two-asset Merton jump-diffusion model
• The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
• The COS method for option valuation under the SABR dynamics
• A local radial basis function method for high-dimensional American option pricing problems
• Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options
• Radial basis function partition of unity operator splitting method for pricing multi-asset American options
• Scientific computing. A historical perspective
• 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
• VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
• 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
• A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’
• Uncertainty quantification of derivative instruments
• Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting
• Conservative third-order central-upwind schemes for option pricing problems
• 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
• A least squares radial basis function partition of unity method for solving PDEs
• Radial basis function generated finite differences for option pricing problems

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