Finite Element Modelling of Exotic Options

Jürgen Topper

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

Abstract: 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.

JEL-codes: C63 G13 (search for similar items in EconPapers)
Pages: 29 pages
Date: 1998-12
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