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Title page for ETD etd-042711-190843


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Author NameFei, Bingxin
URNetd-042711-190843
TitleComputational Methods for Option Pricing
DegreeMS
DepartmentMathematical Sciences
Advisors
  • Marcel Y. Blais, Advisor
  • Keywords
  • Monte Carlo GBM
  • Date of Presentation/Defense2011-05-02
    Availability unrestricted

    Abstract

    This paper aims to practice the use of Monte Carlo methods to simulate stock prices in order to price European call options using control variates. American put options are priced using the binomial model separately. Finally, we use the information to form a portfolio position using an Interactive Brokers paper trading account.

    Files
  • Bingxin_Fei_Project.pdf

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