Title page for ETD etd-042711-190646

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
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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