Faculty Advisor

Lui, Roger Y.

Abstract

This project fulfills the requirements for an MQP at Worcester Polytechnic Institute. Its objective is to present in a mathematical manner methods for pricing a few types of financial options. It describes in detail the binomial method for pricing vanilla options. It then goes ahead and explains how the binomial method can be applied in pricing exotic options.

Publisher

Worcester Polytechnic Institute

Date Accepted

January 1999

Major

Mathematical Sciences

Project Type

Major Qualifying Project

Accessibility

Restricted-WPI community only

Advisor Department

Mathematical Sciences

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