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.
| Identifer | oai:union.ndltd.org:wpi.edu/oai:digitalcommons.wpi.edu:etd-theses-1380 |
| Date | 27 April 2011 |
| Creators | Fei, Bingxin |
| Contributors | Marcel Y. Blais, Advisor, , |
| Publisher | Digital WPI |
| Source Sets | Worcester Polytechnic Institute |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | Masters Theses (All Theses, All Years) |
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