This project fulfills the requirements for an MQP at Worcester Polytechnic Institute. Its objective is to present in a mathematical manner methods for pricing a few types of financial options. It describes in detail the binomial method for pricing vanilla options. It then goes ahead and explains how the binomial method can be applied in pricing exotic options.

• This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.

Creator

• Eris, Gil C.

Publisher

• Worcester Polytechnic Institute

Identifier

• 99D061M

Advisor

• Lui, Roger Y

Year

• 1999

Date created

• 1999-01-01

Resource type

• Major Qualifying Project

Major

• Mathematical Sciences

Rights statement

• In Copyright

Última modificação

• 2021-10-11