The Stochastic Finite Element Method and Application in Option Pricing

The purpose of this paper is to present a numerical method to solve partial stochastic differential equations. This concept remains the differential operator unchanged but discretizes the dimension of the problem. The response function will be decomposed by the Karhunen--Loeve expansion and approximated by deterministic base functions and Homogeneous Chaos. Application to option pricing will be made.

MoreLess

Authors:	Look, Stefan
Institutions:	University of Bonn, Germany
Subject:	Stochastic Differential Equations \| Stochastic Finite Element Method \| Homogeneous Chaos \| Karhunen-Loeve expansion \| Option Pricing \| Numerical Method

Check Google Scholar |

More access options

In German libraries (KVK)

I need help

More details

Series:	Discussion Paper Serie B.
Type of publication:	Book / Working Paper
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005032148