Computational Methods for Option Pricing

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 B...

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Bibliographic Details
Main Author:	Fei, Bingxin
Other Authors:	Marcel Y. Blais, Advisor
Format:	Others
Published:	Digital WPI 2011
Subjects:	Monte Carlo GBM
Online Access:	https://digitalcommons.wpi.edu/etd-theses/381 https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1380&context=etd-theses

id	ndltd-wpi.edu-oai-digitalcommons.wpi.edu-etd-theses-1380
record_format	oai_dc
spelling	ndltd-wpi.edu-oai-digitalcommons.wpi.edu-etd-theses-13802019-05-10T17:37:41Z Computational Methods for Option Pricing Fei, Bingxin 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. 2011-04-27T07:00:00Z text application/pdf https://digitalcommons.wpi.edu/etd-theses/381 https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1380&context=etd-theses Masters Theses (All Theses, All Years) Digital WPI Marcel Y. Blais, Advisor Monte Carlo GBM
collection	NDLTD
format	Others
sources	NDLTD
topic	Monte Carlo GBM
spellingShingle	Monte Carlo GBM Fei, Bingxin Computational Methods for Option Pricing
description	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.
author2	Marcel Y. Blais, Advisor
author_facet	Marcel Y. Blais, Advisor Fei, Bingxin
author	Fei, Bingxin
author_sort	Fei, Bingxin
title	Computational Methods for Option Pricing
title_short	Computational Methods for Option Pricing
title_full	Computational Methods for Option Pricing
title_fullStr	Computational Methods for Option Pricing
title_full_unstemmed	Computational Methods for Option Pricing
title_sort	computational methods for option pricing
publisher	Digital WPI
publishDate	2011
url	https://digitalcommons.wpi.edu/etd-theses/381 https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1380&context=etd-theses
work_keys_str_mv	AT feibingxin computationalmethodsforoptionpricing
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Computational Methods for Option Pricing

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