Title page for ETD etd-042711-190843

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

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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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
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