BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems

DOI10.1080/00207160.2018.1544368zbMath1499.91177OpenAlexW2886327905MaRDI QIDQ5031725

Maarten Wyns, Johan Walden, Slobodan Milovanović, Magnus Wiktorsson, Tinne Haentjens, Elisabeth Larsson, Victor Shcherbakov, Álvaro Leitao, Shashi Jain, Lina von Sydow, Karel J. in 't Hout, Cornelis W. Oosterlee

Publication date: 16 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2018.1544368

zbMATH Keywords

stochastic differential equationnumerical methodsoption pricingcharacteristic functionpartial differential equationbenchmark problemstochastic and local volatility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items

A high order method for pricing of financial derivatives using radial basis function generated finite differences ⋮ 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 ⋮ A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options ⋮ On a high-order Gaussian radial basis function generated Hermite finite difference method and its application ⋮ BENCHOP ⋮ A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’ ⋮ VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS

Cites Work

• Unnamed Item
• Boundary conditions for the single-factor term structure equation
• The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
• On the role of polynomials in RBF-FD approximations: II. Numerical solution of elliptic PDEs
• On the role of polynomials in RBF-FD approximations. I: Interpolation and accuracy
• Radial basis function partition of unity operator splitting method for pricing multi-asset American options
• Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
• Sequential calibration of options
• Radial basis function generated finite differences for option pricing problems
• Radial basis function partition of unity methods for pricing vanilla basket options
• Two singular diffusion problems
• BENCHOP – The BENCHmarking project in option pricing
• A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL
• On the Heston Model with Stochastic Interest Rates
• Boundary conditions for computing densities in hybrid models via PDE methods
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Multilevel Monte Carlo Path Simulation
• EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS
• On an efficient multiple time step Monte Carlo simulation of the SABR model
• Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models
• The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
• Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Calculation of Gauss Quadrature Rules
• ADI finite difference schemes for option pricing in the Heston model with correlation