| 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: | Ibaraki Toshihide, Yagiura Mutsunori, Nishihara Michi |
| Keywords: | simulation |
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.