Date of Award
Master of Science (MS)
Economics and Finance
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.
Petty, Robert, "Options Pricing Through Computational Methods" (2016). All Graduate Plan B and other Reports. 854.
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