Return to Colloquia & Seminar listing
Pricing Contingent Claims: A Stochastic Programming Perspective
Student-Run Research| Speaker: | Prof. Roger Wets, UC Davis |
| Location: | 593 Kerr |
| Start time: | Wed, Apr 11 2001, 1:10PM |
Description
Abstract. The pricing of contingent claims is analyzed in the framework
provided by stochastic programming duality. Arbitrage and the existence
of equivalent martingale measure are shown to be dual concepts.