This paper describes methods for pricing European and American options. Monte Carlo simulation and control variates methods are employed to price call options. The binomial model is employed to price American put options. Using daily stock data I am able to compare the model price and market price and speculate as to the cause of difference. Lastly, I build a portfolio in an Interactive Brokers paper trading [1] account using the prices I calculate. This project was done a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics.

Creator

• Gu, Chenchen

Contributeurs

• Blais, Marcel Y.

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-042711-230037

Mot-clé

• control variates
• GBM
• binomial model
• Monte Carlo simulation

Advisor

• Blais, Marcel Y.

Defense date

• 2011-05-04

Year

• 2011

Date created

• 2011-04-27

Resource type

• Report

Rights statement

• In Copyright

Dernière modification

• 2021-01-28