Document Type masters report Author Name Fei, Bingxin URN etd-042711-190843 Title Computational Methods for Option Pricing Degree MS Department Mathematical Sciences Advisors Marcel Y. Blais, Advisor Keywords Monte Carlo GBM Date of Presentation/Defense 2011-05-02 Availability unrestricted
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.
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