- PII
- S042473880000616-6-1
- DOI
- 10.7868/S0000616-6-1
- Publication type
- Article
- Status
- Published
- Authors
- Volume/ Edition
- Volume 52 / Issue 2
- Pages
- 103-111
- Abstract
- It is necessary at any time for the market prices to satisfy certain conditions of a set of options with different strike prices on the same reference asset be arbitrage-free. Some conditions of this kind are the consequences of arbitrage-free requirement: monotonicity, Lipschitz-parameters and conxexity. We give the complete set of independent and verifiable convexity-type properties for option prices that are equivalent to the absence of arbitrage. A special version of Farkas lemma was used in the proof of the main result. This construction may be generalized to the dirivatives depending on several reference assets and/or with arbitrary piecewise linear payoff diagrams. It is proved that one may choose a finite set of functions on an option portfolio sufficient to verify the arbitrage-free requirement for this context.
- Keywords
- option, no-arbitrage pricing, convexity
- Date of publication
- 01.04.2016
- Year of publication
- 2016
- Number of purchasers
- 1
- Views
- 1689
RAS Social ScienceЭкономика и математические методы Economics and the Mathematical Methods
- ISSN (Print) 0424-7388
- ISSN (Online) 3034-6177
THE CONVEXITY OF OPTION PRICES AS A CRITERION OF NO-ARBITRAGE
Индексирование
Scopus
Crossref
Higher Attestation Commission
At the Ministry of Education and Science of the Russian Federation
Scientific Electronic Library