Template-Type:ReDIF-Paper 1.0  
Title:The Stochastic Finite Element Method and Application in Option Pricing
Author-Name: Look, Stefan
Classification-JEL:G13
Keywords: Stochastic Differential Equations, Stochastic Finite Element Method, Homogeneous Chaos,
	Karhunen--Loeve expansion, Option Pricing, Numerical Method	
Abstract: The purpose of this paper is to present a numerical method to solve partial stochastic differential
	equations. This concept remains the differential operator unchanged but discretizes the dimension of the
	problem. The response function will be decomposed by the Karhunen--Loeve expansion and approximated by
	deterministic base functions and Homogeneous Chaos. Application to option pricing will be made.
Length: pages
Creation-Date: 
Revision-Date: 1998-03
Handle: RePEc:bon:bonsfb:429