von Sydow, Lina (author), Milovanović, Slobodan (author), Larsson, Elisabeth (author), In 't Hout, Karel (author), Wiktorsson, Magnus (author), Oosterlee, C.W. (author), Shcherbakov, Victor (author), Wyns, Maarten (author), Leitao Rodriguez, A. (author), Jain, S. (author), Haentjens, Tinne (author), Waldén, Johan (author) In the recent project BENCHOP–the BENCHmarking project in Option Pricing we found that Stochastic and Local Volatility problems were particularly challenging. Here we continue the effort by introducing a set of benchmark problems for this type of problems. Eight different methods targeted for the Stochastic Differential Equation (SDE)...
journal article 2018
