Marcel Y. Blais
This report describes our work in pricing options using computational methods. First, I collected the historical asset prices for assets in four economic sectors to estimate model parameters, such as asset returns and covariances. Then I used these parameters to model asset prices using multiple geometric Brownian motion and simulate new asset prices. Using the generated prices, I used Monte Carlo methods and control variates to price call options. Next I used the binomial tree model to price put options, which I was introduced to in the course Math 571: Financial Mathematics I. Using the estimated put and call option prices together with some stocks, I formed a portfolio in an Interactive Brokers paper account . 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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Sun, Xihao, "Pricing Options with Monte Carlo and Binomial Tree Methods" (2011). Masters Theses (All Theses, All Years). 687.
The Monte Carlo Methods