Finite element modeling of exotic options

Jürgen Topper

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

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Year of publication:	1998 ; Version December 28, 1998
Authors:	Topper, Jürgen
Publisher:	[Hannover] : [Fachbereich Wirtschaftswissenschaften, Universität Hannover]
Subject:	Optionspreistheorie \| Option pricing theory \| Mathematische Optimierung \| Mathematical programming \| Chaostheorie \| Chaos theory \| Theorie \| Theory \| Partielle Differentialgleichung \| Finite-Elemente-Methode \| Exotic options \| Mathematisches Modell

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Extent:	1 Online-Ressource (circa 30 Seiten) Illustrationen
Series:	Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP). - Hannover : Wirtschaftswiss. Fak., Univ., ZDB-ID 2120102-X. - Vol. no. 216
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/78337 [Handle]
Classification:	C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing ; Partielle Differentialgleichungen ; Numerische Mathematik ; Angewandte Mathematik ; Geld, Inflation, Kapitalmarkt ; Investition, Finanzierung
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011526581