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Implementing Option Pricing Model, Zhao Ming
Implementing Option Pricing Model, Zhao Ming
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
In this paper I replicate Clewlow and Strickland's control variates methods based on Greek letters method to test if it can improve the simulation efficiency. First, I use Black Scholes Merton formula for option pricing as a benchmark, to compare with the European call option price from Monte Carlo methods. Then I use Greek letters as control variates to reduce sample standard deviation and improve the efficiency of the Monte Carlo simulation. The whole process is programming in C++. C++ is a compiled language which can generate machine code from source code and provide a shorter running time. This paper …
Options Pricing Through Computational Methods, Robert Petty
Options Pricing Through Computational Methods, Robert Petty
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
The purpose of this paper is to show the practical application of computational methods to price options. Emphasis is especially given to the use of the Longstaff-Schwartz method for pricing American and exotic options. An implementation of these pricing methods in a computer program are demonstrated. The advantages of using object-oriented programming design patterns to make pricing programs more flexible and useful is also discussed.