A Finite Element Implementation of Passport Options

Jürgen Topper

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

Abstract: 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.

JEL-codes: C61 C63 G13 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2001-11
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