Except for special cases, passport option s do not have closed-form solutions. Here we show how to derive approximate solutions using finite element methods. We also show that finite elements offer advantages in computing the hedge parameters.

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...