Duality in option pricing based on prices of other derivatives

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.

• Type: Journal
• Year: 2007
• Where: ORL
• Authors: Michi Nishihara, Mutsunori Yagiura, Toshihide Ibaraki
• Keywords: Derivative Price Range, ORL 2007, Semi-infinite Programming Problem, financial Meaning