Faculty Advisor or Committee Member
Marcel Y. Blais, Advisor
This paper describes methods for pricing European and American options. Monte Carlo simulation and control variates methods are employed to price call options. The binomial model is employed to price American put options. Using daily stock data I am able to compare the model price and market price and speculate as to the cause of difference. Lastly, I build a portfolio in an Interactive Brokers paper trading  account using the prices I calculate. 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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Gu, Chenchen, "Option Pricing Using MATLAB" (2011). Masters Theses (All Theses, All Years). 382.
control variates, binomial model, GBM, Monte Carlo simulation