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Department of Information Technology

The original BENCHOP - The BENCHmarking project in Option Pricing

The purpose of the original BENCHOP is to provide a set of benchmark problems that can be used for comparing methods and evaluating new methods. Implementations in MATLAB of standard methods to compare against are also provided. All MATLAB-implementations will be available to everybody at www.it.uu.se/research/scientific_computing/project/compfin/benchop/original. Any use of the code in the future is expected to be adequately cited.

The aim of BENCHOP is 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 and codes 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.


Problem formulation and reference values

Benchop.pdf


Link to publication


Presentation of methods with codes and descriptions

Monte Carlo methods

Monte Carlo with Euler-Maruyama in time

Josef Höök
MC.zip

Monte Carlo with analytical solution / Euler-Maruyama / quadratic scheme in time and stratified sampling

Josef Höök
MC-S.zip

Quasi Monte Carlo with analytical solution / Euler-Maruyama / quadratic scheme in time, stratified sampling, and precomputed quasi random numbers

Josef Höök
QMC-S.zip


Fourier methods

Fourier method with FFTs

Erik Lindström
FFT.pdf | FFT.zip

Fourier method with Gauss-Laguerre quadrature

Magnus Wiktorsson
FGL.pdf | FGL.zip

Fourier method based on Fourier cosine series and the characteristic function

Marjon Ruijter
COS.pdf | COS.zip


Finite difference methods

Finite differences on uniform grids with Rannacher smoothed CN in time

Yuri Shpolyanskiy
FD.pdf | FD.zip

Finite differences on quadratically refined grids with Rannacher smoothed CN / IMEX-CNAB in time

Jari Toivanen
FD-NU.pdf | FD-NU.zip

Adaptive finite differences with discontinuous Galerkin / BDF-2 in time

Lina von Sydow
FD-AD.pdf | FD-AD.zip


Radial basis function methods

Global radial basis functions with non-uniform nodes and BDF-2 in time

Elisabeth Larsson
RBF.pdf | RBF.zip

Radial basis functions generated finite differences with BDF-2 in time

Slobodan Milovanović
RBF-FD.pdf | RBF-FD.zip

Radial basis functions partition of unity method with BDF-2 in time

Victor Shcherbakov
RBF-PUM.pdf | RBF-PUM.zip

Least-squares multi-level radial basis functions with BDF-2 in time

Elisabeth Larsson
RBF-LSML.pdf | RBF-LSML.zip

Adaptive RBFs with CN in time

Jeremy Levesley
RBF-AD.pdf|RBF-AD.zip

Multi-level radial basis functions treating time as a spatial dimension

Jeremy Levesley
RBF-MLT.pdf | RBF-MLT.zip

Updated  2017-04-26 10:26:37 by Slobodan Milovanovic.