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
Link to publication
-
BENCHOP—The BENCHmarking project in Option Pricing
. In International Journal of Computer Mathematics, volume 92, pp 2361-2379, 2015. (DOI, fulltext:postprint
).
Presentation of methods with codes and descriptions
Monte Carlo methods
Monte Carlo with Euler-Maruyama in time
Monte Carlo with analytical solution / Euler-Maruyama / quadratic scheme in time and stratified sampling
Quasi Monte Carlo with analytical solution / Euler-Maruyama / quadratic scheme in time, stratified sampling, and precomputed quasi random numbers
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 Milovanovi?
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