Document Type masters report Author Name Wang, Junxiong URN etd-042611-232718 Title Option Pricing Using Monte Carlo Methods Degree MS Department Mathematical Sciences Advisors Marcel Y. Blais , Advisor Keywords GBM.Monte Carlo Date of Presentation/Defense 2011-05-04 Availability unrestricted
This project is devoted primarily to the use of Monte Carlo methods to simulate stock prices in order to price European call options using control variates, and to the use of the binominal model to price American put options. At the end, we can use the information to form a portfolio position using an Interactive Brokers paper trading account. This project was done as a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics.
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