Date of Award
Master of Science (MS)
Economics and Finance
This study examines methods of pricing American style options, moving from the binomial model to the Black Scholes method and finishing with simulated method of option pricing. A simulated approached is based off the work established by Longstaff and Schwartz (2001) and extended by Rambharat and Brockwell (2010). Downfalls of these methods are discussed, as are ways to improve upon them. Using Monte Carlo methods and particle filtering will lead to a platform where options are priced with greater detail. Also, these simulated methods lead to faster computing time allowing for a more efficient use of resources and a theoretical framework of pricing.
Smith, Garrett G., "American Option Pricing: A Simulated Approach" (2013). All Graduate Plan B and other Reports. 309.
Copyright for this work is retained by the student. If you have any questions regarding the inclusion of this work in the Digital Commons, please email us at .