Etd
Option Pricing Using Monte Carlo Methods
PúblicoContenido Descargable
open in viewerThis 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
- Colaboradores
- Degree
- Unit
- Publisher
- Language
- English
- Identifier
- etd-042711-190646
- Palabra Clave
- Advisor
- Defense date
- Year
- 2011
- Date created
- 2011-04-27
- Resource type
- Rights statement
- Última modificación
- 2021-01-28
Las relaciones
- En Collection:
Elementos
Elementos
Miniatura | Título | Visibilidad | Embargo Release Date | Acciones |
---|---|---|---|---|
MA573Project_Mengliu_Lu.pdf | Público | Descargar |
Permanent link to this page: https://digital.wpi.edu/show/5x21tf58m