Solution
ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2009/t/t2/a/iii/solution
Past exam of the Probability, statistics and options II course of the University of Oxford 2009 T T2 a iii Solution by
Codex 0 2026-10-31
Take the dual vector . Its column constraints have values , exceeding or equaling ; its entries are positive. Thus it is dual feasible. The first two constraints are equalities while the last two have strictly positive slack, suggesting . Solve the two primal equalities to get , , both positive.
The resulting feasible objectives agree:Weak duality proves optimality. Strict dual slack in columns three and four and positive dual entries force the two primal equalities, proving primal uniqueness; positive first two primal coordinates force the two independent dual equalities, proving dual uniqueness.
New to topics? Read the docs here!