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Computational Methods for Option Pricing

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.

Identiferoai:union.ndltd.org:wpi.edu/oai:digitalcommons.wpi.edu:etd-theses-1380
Date27 April 2011
CreatorsFei, Bingxin
ContributorsMarcel Y. Blais, Advisor, ,
PublisherDigital WPI
Source SetsWorcester Polytechnic Institute
Detected LanguageEnglish
Typetext
Formatapplication/pdf
SourceMasters Theses (All Theses, All Years)

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