Faculty Advisor or Committee Member

Marcel Y. Blais, Advisor

Identifier

etd-042711-190843

Abstract

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.

Publisher

Worcester Polytechnic Institute

Degree Name

MS

Department

Mathematical Sciences

Project Type

Thesis

Date Accepted

2011-04-27

Accessibility

Unrestricted

Subjects

Monte Carlo GBM

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