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Die Berechnung von Passport-Optionen mit Finiten Elementen

  • Topper, Jürgen
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    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.

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    File URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-224.pdf
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    Paper provided by Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät in its series Hannover Economic Papers (HEP) with number dp-224.

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    Length: 23 pages
    Date of creation: Aug 1999
    Date of revision:
    Handle: RePEc:han:dpaper:dp-224
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