Linear Duality, Term Structure, and Valuation
ISBN
3-540-64240-4
Type
conference paper
Date Issued
1997-09-03
Author(s)
Abstract
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.
Language
English
HSG Classification
not classified
Refereed
No
Book title
Operations Research Proceedings 1997
Publisher
Springer-Verlag
Publisher place
Berlin, DE
Start page
13
End page
18
Pages
6
Event Title
Symposium on Operations Research (SOR'97)
Event Location
Jena, DE
Subject(s)
Division(s)
Eprints ID
7218
File(s)![Thumbnail Image]()
open.access
Name
sor97arbitrage.pdf
Size
454.4 KB
Format
Adobe PDF
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