Duality in option pricing based on prices of other derivatives

Duality in option pricing based on prices of other derivatives

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Article ID: iaor20081577
Country: Netherlands
Volume: 35
Issue: 2
Start Page Number: 165
End Page Number: 171
Publication Date: Mar 2007
Journal: Operations Research Letters
Authors: , ,
Keywords: simulation
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.

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