SFB 303 Discussion Paper No. B - 429
Author: Look, Stefan
Title: The Stochastic Finite Element Method and Application in Option Pricing
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.
Keywords: Stochastic Differential Equations, Stochastic Finite Element Method,
Homogeneous Chaos, Karhunen--Loeve expansion, Option Pricing, Numerical Method
Creation-Date: March 1998
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