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.

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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

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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