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.

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