A Finite Element Implementation of Passport Options

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.

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Year of publication:	2001
Authors:	Topper, Jürgen
Publisher:	Hannover : Universität Hannover, Wirtschaftswissenschaftliche Fakultät

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Series:	Diskussionsbeitrag ; 224e
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	866551239 [GVK] hdl:10419/78300 [Handle] RePEc:han:dpaper:dp-224e [RePEc]
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010317559