Finite Element Modeling of Exotic Options

The Finite Element Method is a well-studied and well-understood method of solving partial differential equations. Its applicability to financial models formulated as PDEs is demonstrated. Its advantage concerning the computation of accurate "Greeks" is delineated. This is demonstrated with various exotic options.

MoreLess

Year of publication:	1998-12-28
Authors:	Topper, Jürgen
Publisher:	Arthur Andersen Managementberatung GmbH <Eschborn>
Subject:	Option \| PDE/PROTRAN \| Finite-Elemente-Methode \| Finite-Elemente-Method \| Exotic options

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

Table of Contents
More details

1 Introduction
2 General Outline
3 Examples
3.1 Barrier Options
3.2 Power Options
3.3 Basket Options
4 Conclusions

Persistent link: https://www.econbiz.de/10005840942