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A Finite Element Implementation of Passport Options

Author

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  • Topper, Jürgen

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.

Suggested Citation

  • Topper, Jürgen, 2001. "A Finite Element Implementation of Passport Options," Hannover Economic Papers (HEP) dp-224e, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    • Handle: RePEc:han:dpaper:dp-224e
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    File URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-224e.pdf
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    More about this item

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • 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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