Department of Applied Mathematics & Physics, Kyoto University

Technical Report 2005-013 (October 27, 2005)

Duality in Option Pricing Based on Prices of Other Derivatives
by Michi Nishihara, Mutsunori Yagiura, Toshihide Ibaraki

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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.