Abstract
Finite element methods provide more flexibility in approximating functions and domains. These advantages can be exploited for the pricing of options, which is explained in this chapter. It starts with an elementary introduction to finite element methods. Then the ideas are applied to standard options based on a single asset. The two-asset case is treated next, with an example of a basket with double barrier. The chapter ends with a proof of quadratic convergence for a standard scenario.
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© 2012 Springer-Verlag London Limited
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Seydel, R.U. (2012). Finite-Element Methods. In: Tools for Computational Finance. Universitext. Springer, London. https://doi.org/10.1007/978-1-4471-2993-6_5
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DOI: https://doi.org/10.1007/978-1-4471-2993-6_5
Publisher Name: Springer, London
Print ISBN: 978-1-4471-2992-9
Online ISBN: 978-1-4471-2993-6
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