Finite Element Modelling of Exotic Options

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:	1998-12
Authors:	Topper, Jürgen
Institutions:	Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover

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Extent:	application/pdf
Series:	Hannover Economic Papers (HEP). - ISSN 0949-9962.
Type of publication:	Book / Working Paper
Notes:	29 pages
Classification:	C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005606937