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.
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|Date of revision:||Mar 1998|
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