Τιμολόγηση συμβολαίων μέσω arbitrage & το θεώρημα του Arbitrage
Option pricing via arbitrage & the theorem of Arbitrage
Βελέντζα, Ειρήνη Α.
In this paper, we are going to study the option pricing via Arbitrage. We will set the essentially fundamental theoretical part and basic concepts for the financial derivatives and we will mention the needed mathematical background for the understanding of the meaning of arbitrage. We will present and prove the theorem of Arbitrage as well as its implementations in the Black & Scholes model along with other pricing models. We will demonstrate the way that this theorem can be used to determine the unique option prices under the absence of arbitrage in different circumstances, as the binomial model for one-period or multi-period.