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10

ORL
2007

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Duality in option pricing based on prices of other derivatives

13 years 7 months ago

Duality in option pricing based on prices of other derivatives

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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.

Michi Nishihara, Mutsunori Yagiura, Toshihide Ibar

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Derivative Price Range | ORL 2007 | Semi-inﬁnite Programming Problem | ﬁnancial Meaning |

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Added	27 Dec 2010
Updated	27 Dec 2010
Type	Journal
Year	2007
Where	ORL
Authors	Michi Nishihara, Mutsunori Yagiura, Toshihide Ibaraki

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