This paper aims to use Monte Carlo methods to price American call options on equities using the variance reduction technique of control variates and to price American put options using the binomial model. We use this information to form option positions. This project was done a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics.

Creator

• Lu, Mengliu

Contributors

• Blais, Marcel Y.

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-042711-190646

Keyword

• Monte Carlo
• American put
• American call

Advisor

• Blais, Marcel Y.

Defense date

• 2011-05-03

Year

• 2011

Date created

• 2011-04-27

Resource type

• Report

Rights statement

• In Copyright

Last modified

• 2021-01-28