Faculty Advisor

Pavlov, Oleg V.

Abstract

Options are one of the most used financial instruments nowadays. The goal of the project is to analyze different options trading strategies. The research includes ways to price and value options and creating delta hedging simulation, based on the Black/Scholes pricing model and Monte Carlo simulations.

Publisher

Worcester Polytechnic Institute

Date Accepted

April 2008

Project Type

Interactive Qualifying Project

Accessibility

Unrestricted

Advisor Department

Social Science and Policy Studies

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