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.