This project is devoted primarily to the use of Monte Carlo methods to simulate stock prices in order to price European call options using control variates, and to the use of the binominal model to price American put options. At the end, we can use the information to form a portfolio position using an Interactive Brokers paper trading account. This project was done as a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics.
| Identifer | oai:union.ndltd.org:wpi.edu/oai:digitalcommons.wpi.edu:etd-theses-1330 |
| Date | 26 April 2011 |
| Creators | Wang, Junxiong |
| 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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