Computational Methods for Option Pricing
This paper aims to practice the use of Monte Carlo methods to simulate stock prices in order to price European call options using control variates. American put options are priced using the binomial model separately. Finally, we use the information to form a portfolio position using an Interactive B...
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Digital WPI
2011
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| Online Access: | https://digitalcommons.wpi.edu/etd-theses/381 https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1380&context=etd-theses |