Document Type masters report Author Name Lu, Mengliu URN etd-042711-190646 Title Option Pricing Using Monte Carlo Methods Degree MS Department Mathematical Sciences Advisors Marcel Blais, Advisor Keywords Monte Carlo American call American put Date of Presentation/Defense 2011-05-03 Availability unrestricted
This paper aims to use Monte Carlo methods to price American call options on equities using the variance reduction technique of control variates and to price American put options using the binomial model. We use this information to form option positions.
This project was done a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics.
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