Faculty Advisor or Committee Member
Marcel Y. Blais, Advisor
This paper aims to use Monte Carlo methods to price American call options on equities using the variance reduction technique of control variates and to price American put options using the binomial model. We use this information to form option positions. This project was done a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics.
Worcester Polytechnic Institute
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Lu, Mengliu, "Option Pricing Using Monte Carlo Methods" (2011). Masters Theses (All Theses, All Years). 380.
Monte Carlo, American call, American put