Exam form template for Nanyang Technological University's School of Electrical & Electronic Engineering (21 Aug 2006).
The \marks macro was renamed to \Qmarks in this template on Overleaf for correct compilation in recent LaTeX distributions.
Downloaded from https://ntulearn.ntu.edu.sg/bbcswebdav/users/ekvling/Public/latex/index.html
In this paper we discuss how to price American, European and Asian options using a geometric Brownian motion model for stock price. We investigate the analytic solution for Black-Scholes differential equation for European options and consider numerical methods for approximating the price of other types of options. These numerical methods include Monte Carlo, binomial trees, trinomial trees and finite difference methods. We conclude our discussion with an investigation of how these methods perform with respect to the changes in different Greeks. Further analysing how the value of a certain Greeks affect the price of a given option.