Title page for ETD etd-042611-232718

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

Abstract
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.

Files
Report_of_Junxiong_Wang.pdf

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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
Abstract 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.
Files	Report_of_Junxiong_Wang.pdf