Teoria de apreçamento de opções por arbitragem utilizando o modelo binomial

Abstract

In this work, elementary mathematical tools, based on convex functions properties, are used to derive the arbitrage price for american options. Markets are considered completes and discretes in time and stock prices are supposedto behave according to binomial models. It is aiso shown the traditional way to obtain the same results, either using strictely financial argumente or by the use of sofisticate Martmgales tools. Aiming to establish the theorical basis necessary to this latter approach to me problem, the concepts ofTnathematical expectation as arandom variable, optimum stopping time and Martingales are reviewed. The routines used to obtain hedging wealth and arbitrage values were developed using R languag