Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-042711-190646

Document Typemasters report
Author NameLu, Mengliu
TitleOption Pricing Using Monte Carlo Methods
DepartmentMathematical Sciences
  • Marcel Blais, Advisor
  • Keywords
  • Monte Carlo
  • American call
  • American put
  • Date of Presentation/Defense2011-05-03
    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.

  • MA573Project_Mengliu_Lu.pdf

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