Department of Information Technology

BENCHOP - The BENCHmarking project in Option Pricing

The purpose and aim of BENCHOP is to provide sets of benchmark problems that can be used for comparison and evaluation of methods and to serve as a take off for future development of methods in option pricing. We expect that future papers in the field will compare method performances with the methods in BENCHOP. Thanks to this, we believe that we will contribute to a more uniform comparison and understanding of different methods' pros and cons in the future.

The original BENCHOP started as a joint international project set up at a workshop on Mathematical and Numerical Modeling in Finance at Institut Mittag-Leffler. The first publication

was less than a year after it was published the most read article in International Journal of Computer Mathematics. You find all information about the original BENCHOP project together with MATLAB-code here.

Now we have continued this successful collaboration with BENCHOP - complex models and beyond. August 22-23 2016 this project had a kick-off workshop. At the bottom of this page you see a picture of the participants in the workshop.

BENCHOP - complex models and beyond consists of two parts; one that is concerned with Stochastic and Local Volatility problems and one that is concerned with Basket options.


Updated  2018-06-19 18:34:12 by Lina von Sydow.