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.

Creator

• Fei, Bingxin

Contributeurs

• Blais, Marcel Y.

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-042711-190843

Mot-clé

• Monte Carlo GBM

Advisor

• Blais, Marcel Y.

Defense date

• 2011-05-02

Year

• 2011

Date created

• 2011-04-27

Resource type

• Report

Rights statement

• In Copyright

Dernière modification

• 2021-01-28