Option Pricing Using Monte Carlo Methods
This project is devoted primarily to the use of Monte Carlo methods to simulate stock prices in order to price European call options using control variates, and to the use of the binominal model to price American put options. At the end, we can use the information to form a portfolio position using...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Others |
| Published: |
Digital WPI
2011
|
| Subjects: | |
| Online Access: | https://digitalcommons.wpi.edu/etd-theses/331 https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1330&context=etd-theses |