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Pricing Contingent Claims: A Stochastic Programming Perspective
Student-Run Research Seminar| Speaker: | Prof. Roger Wets, UC Davis |
| Location: | 593 Kerr |
| Start time: | Wed, Apr 11 2001, 1:10PM |
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.