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Diskussionspapiere - Hannover Economic Papers (HEP)

Finite Element Modelling of Exotic Options

Autor: Topper, Jürgen
Nummer: 216, Dec 1998, pp. 29
JEL-Class: C63, G13

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.

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