Τιμολόγηση συμβολαίων μέσω arbitrage & το θεώρημα του Arbitrage
Option pricing via arbitrage & the theorem of Arbitrage
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Subject
Κέρδος ; Χρηματοοικονομικά παράγωγαKeywords
Βέβαιο κέρδοςAbstract
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.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
135Language
Greek
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές