{"id":"https://openalex.org/W2886327905","doi":"https://doi.org/10.1080/00207160.2018.1544368","title":"BENCHOP \u2013 SLV: the BENCHmarking project in Option Pricing \u2013 Stochastic and Local Volatility problems","display_name":"BENCHOP \u2013 SLV: the BENCHmarking project in Option Pricing \u2013 Stochastic and Local Volatility problems","publication_year":2018,"publication_date":"2018-11-07","ids":{"openalex":"https://openalex.org/W2886327905","doi":"https://doi.org/10.1080/00207160.2018.1544368","mag":"2886327905"},"language":"en","primary_location":{"id":"doi:10.1080/00207160.2018.1544368","is_oa":true,"landing_page_url":"https://doi.org/10.1080/00207160.2018.1544368","pdf_url":"https://www.tandfonline.com/doi/pdf/10.1080/00207160.2018.1544368?needAccess=true","source":{"id":"https://openalex.org/S124867444","display_name":"International Journal of Computer Mathematics","issn_l":"0020-7160","issn":["0020-7160","1026-7425","1029-0265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computer Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://www.tandfonline.com/doi/pdf/10.1080/00207160.2018.1544368?needAccess=true","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5083551863","display_name":"Lina von Sydow","orcid":null},"institutions":[{"id":"https://openalex.org/I123387679","display_name":"Uppsala University","ror":"https://ror.org/048a87296","country_code":"SE","type":"education","lineage":["https://openalex.org/I123387679"]}],"countries":["SE"],"is_corresponding":true,"raw_author_name":"Lina von Sydow","raw_affiliation_strings":["Department of Information Technology, Uppsala University, Uppsala, Sweden"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Information Technology, Uppsala University, Uppsala, Sweden","institution_ids":["https://openalex.org/I123387679"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5039889714","display_name":"Slobodan Milovanovi\u0107","orcid":"https://orcid.org/0000-0003-3164-5242"},"institutions":[{"id":"https://openalex.org/I123387679","display_name":"Uppsala University","ror":"https://ror.org/048a87296","country_code":"SE","type":"education","lineage":["https://openalex.org/I123387679"]}],"countries":["SE"],"is_corresponding":false,"raw_author_name":"Slobodan Milovanovi\u0107","raw_affiliation_strings":["Department of Information Technology, Uppsala University, Uppsala, Sweden"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Information Technology, Uppsala University, Uppsala, Sweden","institution_ids":["https://openalex.org/I123387679"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5072928406","display_name":"Elisabeth Larsson","orcid":"https://orcid.org/0000-0003-1154-9587"},"institutions":[{"id":"https://openalex.org/I123387679","display_name":"Uppsala University","ror":"https://ror.org/048a87296","country_code":"SE","type":"education","lineage":["https://openalex.org/I123387679"]}],"countries":["SE"],"is_corresponding":false,"raw_author_name":"Elisabeth Larsson","raw_affiliation_strings":["Department of Information Technology, Uppsala University, Uppsala, Sweden"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Information Technology, Uppsala University, Uppsala, Sweden","institution_ids":["https://openalex.org/I123387679"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5007886398","display_name":"Karel in\u2019t Hout","orcid":null},"institutions":[{"id":"https://openalex.org/I149213910","display_name":"University of Antwerp","ror":"https://ror.org/008x57b05","country_code":"BE","type":"education","lineage":["https://openalex.org/I149213910"]}],"countries":["BE"],"is_corresponding":false,"raw_author_name":"Karel In't Hout","raw_affiliation_strings":["Department of Mathematics and Computer Science, University of Antwerp, Antwerp, Belgium"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Computer Science, University of Antwerp, Antwerp, Belgium","institution_ids":["https://openalex.org/I149213910"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5011691780","display_name":"Magnus Wiktorsson","orcid":"https://orcid.org/0000-0002-8114-2515"},"institutions":[{"id":"https://openalex.org/I187531555","display_name":"Lund University","ror":"https://ror.org/012a77v79","country_code":"SE","type":"education","lineage":["https://openalex.org/I187531555"]}],"countries":["SE"],"is_corresponding":false,"raw_author_name":"Magnus Wiktorsson","raw_affiliation_strings":["Centre for Mathematical Sciences, Lund University, Lund, Sweden"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Centre for Mathematical Sciences, Lund University, Lund, Sweden","institution_ids":["https://openalex.org/I187531555"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5035408121","display_name":"Cornelis W. Oosterlee","orcid":"https://orcid.org/0000-0002-7322-4094"},"institutions":[{"id":"https://openalex.org/I1341640284","display_name":"Centrum Wiskunde & Informatica","ror":"https://ror.org/00x7ekv49","country_code":"NL","type":"facility","lineage":["https://openalex.org/I1341640284","https://openalex.org/I2800991832","https://openalex.org/I4405262988"]},{"id":"https://openalex.org/I98358874","display_name":"Delft University of Technology","ror":"https://ror.org/02e2c7k09","country_code":"NL","type":"education","lineage":["https://openalex.org/I98358874"]}],"countries":["NL"],"is_corresponding":false,"raw_author_name":"Cornelis W. Oosterlee","raw_affiliation_strings":["Centrum Wiskunde & Informatica, Amsterdam, The Netherlands","Delft Institute of Applied Mathematics, Delft University of Technology, Delft, The Netherlands"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Centrum Wiskunde & Informatica, Amsterdam, The Netherlands","institution_ids":["https://openalex.org/I1341640284"]},{"raw_affiliation_string":"Delft Institute of Applied Mathematics, Delft University of Technology, Delft, The Netherlands","institution_ids":["https://openalex.org/I98358874"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5020394902","display_name":"Victor Shcherbakov","orcid":null},"institutions":[{"id":"https://openalex.org/I123387679","display_name":"Uppsala University","ror":"https://ror.org/048a87296","country_code":"SE","type":"education","lineage":["https://openalex.org/I123387679"]}],"countries":["SE"],"is_corresponding":false,"raw_author_name":"Victor Shcherbakov","raw_affiliation_strings":["Department of Information Technology, Uppsala University, Uppsala, Sweden"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Information Technology, Uppsala University, Uppsala, Sweden","institution_ids":["https://openalex.org/I123387679"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5089014069","display_name":"Maarten Wyns","orcid":null},"institutions":[{"id":"https://openalex.org/I149213910","display_name":"University of Antwerp","ror":"https://ror.org/008x57b05","country_code":"BE","type":"education","lineage":["https://openalex.org/I149213910"]}],"countries":["BE"],"is_corresponding":false,"raw_author_name":"Maarten Wyns","raw_affiliation_strings":["Department of Mathematics and Computer Science, University of Antwerp, Antwerp, Belgium"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Computer Science, University of Antwerp, Antwerp, Belgium","institution_ids":["https://openalex.org/I149213910"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5047745167","display_name":"\u00c1lvaro Leitao","orcid":"https://orcid.org/0000-0002-3442-4587"},"institutions":[{"id":"https://openalex.org/I1341640284","display_name":"Centrum Wiskunde & Informatica","ror":"https://ror.org/00x7ekv49","country_code":"NL","type":"facility","lineage":["https://openalex.org/I1341640284","https://openalex.org/I2800991832","https://openalex.org/I4405262988"]},{"id":"https://openalex.org/I4210091183","display_name":"Barcelona Graduate School of Mathematics","ror":"https://ror.org/00d5dd272","country_code":"ES","type":"education","lineage":["https://openalex.org/I4210091183"]}],"countries":["ES","NL"],"is_corresponding":false,"raw_author_name":"Alvaro Leitao","raw_affiliation_strings":["Barcelona Graduate School of Mathematics, Barcelona, Spain","Centrum Wiskunde & Informatica, Amsterdam, The Netherlands"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Barcelona Graduate School of Mathematics, Barcelona, Spain","institution_ids":["https://openalex.org/I4210091183"]},{"raw_affiliation_string":"Centrum Wiskunde & Informatica, Amsterdam, The Netherlands","institution_ids":["https://openalex.org/I1341640284"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5024630635","display_name":"Shashi Jain","orcid":"https://orcid.org/0000-0002-2467-9332"},"institutions":[{"id":"https://openalex.org/I1341640284","display_name":"Centrum Wiskunde & Informatica","ror":"https://ror.org/00x7ekv49","country_code":"NL","type":"facility","lineage":["https://openalex.org/I1341640284","https://openalex.org/I2800991832","https://openalex.org/I4405262988"]},{"id":"https://openalex.org/I59270414","display_name":"Indian Institute of Science Bangalore","ror":"https://ror.org/04dese585","country_code":"IN","type":"education","lineage":["https://openalex.org/I59270414"]}],"countries":["IN","NL"],"is_corresponding":false,"raw_author_name":"Shashi Jain","raw_affiliation_strings":["Centrum Wiskunde & Informatica, Amsterdam, The Netherlands","Department of Management Studies, Indian Institute of Science, Bangalore, India"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Centrum Wiskunde & Informatica, Amsterdam, The Netherlands","institution_ids":["https://openalex.org/I1341640284"]},{"raw_affiliation_string":"Department of Management Studies, Indian Institute of Science, Bangalore, India","institution_ids":["https://openalex.org/I59270414"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5039214848","display_name":"Tinne Haentjens","orcid":null},"institutions":[{"id":"https://openalex.org/I149213910","display_name":"University of Antwerp","ror":"https://ror.org/008x57b05","country_code":"BE","type":"education","lineage":["https://openalex.org/I149213910"]}],"countries":["BE"],"is_corresponding":false,"raw_author_name":"Tinne Haentjens","raw_affiliation_strings":["Department of Mathematics and Computer Science, University of Antwerp, Antwerp, Belgium"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Computer Science, University of Antwerp, Antwerp, Belgium","institution_ids":["https://openalex.org/I149213910"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5046472183","display_name":"Johan Wald\u00e9n","orcid":null},"institutions":[{"id":"https://openalex.org/I95457486","display_name":"University of California, Berkeley","ror":"https://ror.org/01an7q238","country_code":"US","type":"education","lineage":["https://openalex.org/I95457486"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Johan Wald\u00e9n","raw_affiliation_strings":["Haas School of Business, University of California Berkeley, Berkeley, CA, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Haas School of Business, University of California Berkeley, Berkeley, CA, USA","institution_ids":["https://openalex.org/I95457486"]}]}],"institutions":[],"countries_distinct_count":6,"institutions_distinct_count":12,"corresponding_author_ids":["https://openalex.org/A5083551863"],"corresponding_institution_ids":["https://openalex.org/I123387679"],"apc_list":null,"apc_paid":null,"fwci":2.8277,"has_fulltext":true,"cited_by_count":11,"citation_normalized_percentile":{"value":0.907348,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":98},"biblio":{"volume":"96","issue":"10","first_page":"1910","last_page":"1923"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9919999837875366,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.9599000215530396,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/benchmarking","display_name":"Benchmarking","score":0.7606301307678223},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5323581695556641},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.5025022029876709},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.49313801527023315},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.45331597328186035},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.438687264919281},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.37835076451301575},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.3495856523513794},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.34386053681373596},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.2702385187149048},{"id":"https://openalex.org/keywords/marketing","display_name":"Marketing","score":0.05746734142303467}],"concepts":[{"id":"https://openalex.org/C86251818","wikidata":"https://www.wikidata.org/wiki/Q816754","display_name":"Benchmarking","level":2,"score":0.7606301307678223},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5323581695556641},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5025022029876709},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.49313801527023315},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.45331597328186035},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.438687264919281},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.37835076451301575},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.3495856523513794},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.34386053681373596},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.2702385187149048},{"id":"https://openalex.org/C162853370","wikidata":"https://www.wikidata.org/wiki/Q39809","display_name":"Marketing","level":1,"score":0.05746734142303467}],"mesh":[],"locations_count":7,"locations":[{"id":"doi:10.1080/00207160.2018.1544368","is_oa":true,"landing_page_url":"https://doi.org/10.1080/00207160.2018.1544368","pdf_url":"https://www.tandfonline.com/doi/pdf/10.1080/00207160.2018.1544368?needAccess=true","source":{"id":"https://openalex.org/S124867444","display_name":"International Journal of Computer Mathematics","issn_l":"0020-7160","issn":["0020-7160","1026-7425","1029-0265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computer Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:eprints.iisc.ac.in:63348","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4377196309","display_name":"NOT FOUND REPOSITORY (Indian Institute of Science Bangalore)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I59270414","host_organization_name":"Indian Institute of Science Bangalore","host_organization_lineage":["https://openalex.org/I59270414"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":"","raw_type":"Journal Article"},{"id":"pmh:oai:cwi.nl:28249","is_oa":true,"landing_page_url":"https://ir.cwi.nl/pub/28249","pdf_url":"https://ir.cwi.nl/pub/28249/28249.pdf","source":{"id":"https://openalex.org/S7407055335","display_name":"Centrum Wiskunde & Informatica (CWI), the national research institute for mathematics and computer science in the Netherlands","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"International Journal of Computer Mathematics vol. 96 no. 10, pp. 1910-1923","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:c:irua:157786","is_oa":false,"landing_page_url":"https://hdl.handle.net/10067/1577860151162165141","pdf_url":null,"source":{"id":"https://openalex.org/S4377196495","display_name":"Anet (University of Antwerp)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I149213910","host_organization_name":"University of Antwerp","host_organization_lineage":["https://openalex.org/I149213910"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":""},{"id":"pmh:oai:DiVA.org:uu-357218","is_oa":true,"landing_page_url":"http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-357218","pdf_url":null,"source":{"id":"https://openalex.org/S4306402042","display_name":"Uppsala University Publications (Uppsala University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I123387679","host_organization_name":"Uppsala University","host_organization_lineage":["https://openalex.org/I123387679"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article in journal"},{"id":"pmh:oai:lup.lub.lu.se:a2ff2532-2457-4100-958a-dea906b4ef8d","is_oa":false,"landing_page_url":"https://lup.lub.lu.se/record/a2ff2532-2457-4100-958a-dea906b4ef8d","pdf_url":null,"source":{"id":"https://openalex.org/S4306400536","display_name":"Lund University Publications (Lund University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I187531555","host_organization_name":"Lund University","host_organization_lineage":["https://openalex.org/I187531555"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"ISSN: 0020-7160","raw_type":"text"},{"id":"pmh:oai:tudelft.nl:uuid:38006f6a-7ae2-4841-984e-d76462eabfc0","is_oa":false,"landing_page_url":"http://resolver.tudelft.nl/uuid:38006f6a-7ae2-4841-984e-d76462eabfc0","pdf_url":null,"source":{"id":"https://openalex.org/S4306400906","display_name":"Research Repository (Delft University of Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I98358874","host_organization_name":"Delft University of Technology","host_organization_lineage":["https://openalex.org/I98358874"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"journal article"}],"best_oa_location":{"id":"doi:10.1080/00207160.2018.1544368","is_oa":true,"landing_page_url":"https://doi.org/10.1080/00207160.2018.1544368","pdf_url":"https://www.tandfonline.com/doi/pdf/10.1080/00207160.2018.1544368?needAccess=true","source":{"id":"https://openalex.org/S124867444","display_name":"International Journal of Computer Mathematics","issn_l":"0020-7160","issn":["0020-7160","1026-7425","1029-0265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computer Mathematics","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320336376","display_name":"Uppsala Multidisciplinary Center for Advanced Computational Science","ror":null}],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W2886327905.pdf"},"referenced_works_count":33,"referenced_works":["https://openalex.org/W1595182422","https://openalex.org/W2020328455","https://openalex.org/W2027373462","https://openalex.org/W2035005684","https://openalex.org/W2044309282","https://openalex.org/W2064978316","https://openalex.org/W2090453131","https://openalex.org/W2092439997","https://openalex.org/W2105581256","https://openalex.org/W2106198262","https://openalex.org/W2115325641","https://openalex.org/W2122959466","https://openalex.org/W2157022175","https://openalex.org/W2163715525","https://openalex.org/W2165477099","https://openalex.org/W2191947111","https://openalex.org/W2313782254","https://openalex.org/W2329986772","https://openalex.org/W2336371690","https://openalex.org/W2403418182","https://openalex.org/W2428616327","https://openalex.org/W2465624924","https://openalex.org/W2506156813","https://openalex.org/W2560552443","https://openalex.org/W2771952821","https://openalex.org/W2786676876","https://openalex.org/W2963773693","https://openalex.org/W2964080327","https://openalex.org/W3003239501","https://openalex.org/W3100551675","https://openalex.org/W3123581802","https://openalex.org/W3124274665","https://openalex.org/W3124282216"],"related_works":["https://openalex.org/W3046357205","https://openalex.org/W2070862805","https://openalex.org/W3180933049","https://openalex.org/W4238263089","https://openalex.org/W2561005359","https://openalex.org/W3122544694","https://openalex.org/W3123954224","https://openalex.org/W1491092204","https://openalex.org/W2987188948","https://openalex.org/W1970503778"],"abstract_inverted_index":{"In":[0],"the":[1,6,26,45,52,59,69,92,96,109,119,123,126,129,133,136,139,145],"recent":[2],"project":[3,8],"BENCHOP":[4],"\u2013":[5],"BENCHmarking":[7],"in":[9,91],"Option":[10],"Pricing":[11],"we":[12,24],"found":[13],"that":[14],"Stochastic":[15,46],"and":[16,51],"Local":[17],"Volatility":[18],"problems":[19,34,111],"were":[20,72],"particularly":[21],"challenging.":[22],"Here":[23],"continue":[25],"effort":[27],"by":[28],"introducing":[29],"a":[30,87],"set":[31],"of":[32,38,58,68,122],"benchmark":[33],"for":[35,44,95,108,128,135],"this":[36],"type":[37],"problems.":[39,77],"Eight":[40],"different":[41,97],"methods":[42,65,117,127,134],"targeted":[43],"Differential":[47,54],"Equation":[48,55],"(SDE)":[49],"formulation":[50,57,121,138],"Partial":[53],"(PDE)":[56],"problem,":[60],"as":[61,63,144],"well":[62],"Fourier":[64,101],"making":[66],"use":[67],"characteristic":[70],"function,":[71],"implemented":[73,100],"to":[74,83,85,105],"solve":[75],"these":[76],"Comparisons":[78],"are":[79],"made":[80],"with":[81],"respect":[82],"time":[84],"reach":[86],"certain":[88],"error":[89],"level":[90],"computed":[93],"solution":[94],"methods.":[98],"The":[99],"method":[102,141],"was":[103,114],"superior":[104],"all":[106],"others":[107],"two":[110],"where":[112],"it":[113],"implemented.":[115],"Generally,":[116],"targeting":[118],"PDE":[120,137],"problem":[124],"outperformed":[125],"SDE":[130],"formulation.":[131],"Among":[132],"ADI":[140],"stood":[142],"out":[143],"best":[146],"performing":[147],"one.":[148]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":4}],"updated_date":"2026-05-22T06:13:13.366637","created_date":"2018-08-22T00:00:00"}