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Computational Methods for Option Pricing

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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.

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  • English
Identifier
  • etd-042711-190843
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  • 2011
Date created
  • 2011-04-27
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Last modified
  • 2021-01-28

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