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Finite Element Modelling of Exotic Options

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  • Topper, Jürgen

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.

Suggested Citation

  • Topper, Jürgen, 1998. "Finite Element Modelling of Exotic Options," Hannover Economic Papers (HEP) dp-216, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    • Handle: RePEc:han:dpaper:dp-216
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    File URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-216.pdf
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    More about this item

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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