Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-042711-190646


Document Typemasters report
Author NameLu, Mengliu
URNetd-042711-190646
TitleOption Pricing Using Monte Carlo Methods
DegreeMS
DepartmentMathematical Sciences
Advisors
  • Marcel Blais, Advisor
  • Keywords
  • Monte Carlo
  • American call
  • American put
  • Date of Presentation/Defense2011-05-03
    Availability unrestricted

    Abstract

    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.

    Files
  • MA573Project_Mengliu_Lu.pdf

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