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Linear Duality, Term Structure, and Valuation

Karl Frauendorfer & Ralf Gaese

The paper's objective is to interpret no-arbitrage conditions by means of linear programming. Basic statements about the term structure of a market with frictions can be derived using the relation of primal and associated dual programs. The duality concept applies mutatis mutandis to the valuation of cash flows from an individual investor's point of view.
   
type conference paper (English)
   
keywords
   
name of conference Symposium on Operations Research (SOR'97) (Jena, DE)
date of conference 3-9-1997
title of proceedings Operations Research Proceedings 1997
page(s) 13-18
publisher Springer-Verlag (Berlin, DE)
ISBN 3-540-64240-4
review not reviewed
   
citation Frauendorfer, K., & Gaese, R. (1997). Linear Duality, Term Structure, and Valuation. In Operations Research Proceedings 1997, pp.13-18. Berlin, DE: Springer-Verlag. - ISBN 3-540-64240-4.