tukl-msd / finance.benchmark

executable benchmark for evaluating option pricing systems
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Feasibility and setting of Accuracy Levels #2

Open Gordonei opened 9 years ago

Gordonei commented 9 years ago

From the document:

Feasibility

In order for this to meaningful, that means that we need to have reference prices for all tasks in the workload that are accurate down to around 1e-8. That may actually be infeasible, but it would be interesting if it were a spur or a challenge to people.

Setting of Accuracy Levels

My feeling is that there should be a way to define this in a way that depends on $n$, but I'm not sure of the maths right now. I'd have to do some thinking, but it feels like the maximum allowed error should grow as a function of $\sqrt{n}$, both for statistical and numerical reasons.