Der Idee von Geske und Johnson folgend wird der Preis einer amerikanischen Put-Option durch den Preis einer n-Bermuda-Put-Option approximiert. Die Problematik der Berechnung von der in der analytischen Bewertungsformeln von Geske und Johnson auftretenden multidimensionalen...

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...

Innerhalb der Mathematik-Software nehmen die Numerik-Programme MATLAB, Scilab und Octave eine herausragende Rolle ein. In der vorliegenden Arbeit werden sie mit solchen Programmen verglichen, die sich vorwiegend der Computeralgebra widmen, wie Mathematica oder Maple. Dabei betrachten wir die...

In this paper we investigate the use of finite difference and finite element schemes when applied to the valuation of exotic options characterized by discontinuities in the payoff function. In particular, we will conduct a numerical analysis of several common schemes in order to give a better...

A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the policy life plus the remaining account balance at maturity, regardless of the portfolio performance. Under the optimal withdrawal...