Duality in option pricing based on prices of other derivatives
نویسندگان
چکیده
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.
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ورودعنوان ژورنال:
- Oper. Res. Lett.
دوره 35 شماره
صفحات -
تاریخ انتشار 2007