Article ID Journal Published Year Pages File Type
1143171 Operations Research Letters 2007 7 Pages PDF
Abstract
We clarify a financial meaning of duality in the semi-infinite programming problem which emerges in the context of determining a derivative price range based only on the no-arbitrage assumption and the observed prices of other derivatives. The interpretation links studies in the above context to studies in stochastic models.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
Preview
Duality in option pricing based on prices of other derivatives
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