Title page for ETD etd-050311-184136

Document Type	masters report
Author Name	Sun, Xihao
URN	etd-050311-184136
Title	Pricing Options with Monte Carlo and Binomial Tree Methods
Degree	MS
Department	Mathematical Sciences
Advisors	Marcel Y. Blais, Advisor
Keywords	The Monte Carlo Methods
Date of Presentation/Defense	2011-05-04
Availability	unrestricted
Abstract This report describes our work in pricing options using computational methods. First, I collected the historical asset prices for assets in four economic sectors to estimate model parameters, such as asset returns and covariances. Then I used these parameters to model asset prices using multiple geometric Brownian motion and simulate new asset prices. Using the generated prices, I used Monte Carlo methods and control variates to price call options. Next I used the binomial tree model to price put options, which I was introduced to in the course Math 571: Financial Mathematics I. Using the estimated put and call option prices together with some stocks, I formed a portfolio in an Interactive Brokers paper account . This project was done a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics.
Files	XIHAO_SUN_REPORT.pdf

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