Faculty Advisor or Committee Member
Marcel Y. Blais, Advisor
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.
Worcester Polytechnic Institute
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Fei, Bingxin, "Computational Methods for Option Pricing" (2011). Masters Theses (All Theses, All Years). 381.
Monte Carlo GBM