Faculty Advisor

Marcel Y. Blais

Abstract

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.

Publisher

Worcester Polytechnic Institute

Degree Name

MS

Department

Mathematical Sciences

Project Type

Thesis

Date Accepted

2011-04-26

Accessibility

Unrestricted

Subjects

GBM.Monte Carlo

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