Jillian Perry

Mentor: Professor Leslie Cheng

This summer I will conduct research with Professor Leslie Cheng on financial mathematics. More specifically I will look at option pricing. An option is “the right but not the obligation to buy or sell a security such as a stock for an agreed upon price for buying or selling the security” (Buchanan 103). There are different types of options and various ways of distinguishing them. For example, a call option is the option to buy a security in the future, while a put option is an option to sell a security in the future. When an option is bought and sold is determined by the style of the option. The European option can be bought or sold at maturity, while the American option can be bought or sold at or before the strike time.

One of my main goals this summer is to determine a fair price for these options. I will work on determining fair prices for both European and American options.  These are called vanilla options. There are also exotic options with different features.  Time permitting, I will investigate pricing exotic options, such as lookback options (when the holder is paid the maximum value over the option's life).