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    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
    Download  www.amp.i.kyoto-u.ac.jp
    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-arbi...
    Michi Nishihara, Mutsunori Yagiura, Toshihide Ibar...
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