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.

Creator

• Wang, Junxiong

Contributeurs

• Blais, Marcel Y.

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-042611-232718

Mot-clé

• GBM.Monte Carlo

Advisor

• Blais, Marcel Y.

Defense date

• 2011-05-04

Year

• 2011

Date created

• 2011-04-26

Resource type

• Report

Rights statement

• In Copyright

Dernière modification

• 2021-01-28