Date of Award
12-2016
Degree Type
Creative Project
Degree Name
Master of Science (MS)
Department
Economics and Finance
Committee Chair(s)
Tyler Brough
Committee
Tyler Brough
Committee
Jason Smith
Committee
Jared DeLisle
Abstract
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.
Recommended Citation
Petty, Robert, "Options Pricing Through Computational Methods" (2016). All Graduate Plan B and other Reports, Spring 1920 to Spring 2023. 854.
https://digitalcommons.usu.edu/gradreports/854
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