BENCHOP – The BENCHmarking project in option pricing

Abstract

The aim of the BENCHOP project is to provide the finance community with a common suite of benchmark
\nproblems for option pricing. We provide a detailed description of the six benchmark problems together
\nwith methods to compute reference solutions. We have implemented fifteen different numerical methods
\nfor these problems, and compare their relative performance. All implementations are available on line and can be used for future development and comparisons