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.
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© 1998 Springer-Verlag Berlin Heidelberg
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Frauendorfer, K., Gaese, R. (1998). Linear Duality, Term Structure, and Valuation. In: Operations Research Proceedings 1997. Operations Research Proceedings, vol 1997. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-58891-4_2
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DOI: https://doi.org/10.1007/978-3-642-58891-4_2
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-64240-4
Online ISBN: 978-3-642-58891-4
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