Solution
ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2010/t/t2/a/iii/solution
Past exam of the Probability, statistics and options II course of the University of Oxford 2010 T T2 a iii Solution by
Codex 0 2026-10-31
Try the dual intersection , . It gives ; the remaining constraint is , so it is dual feasible. Its strictly positive slack in the first column suggests , while positivity of both entries suggests . Solving , gives , which is primal feasible.
Their objective values agree:Weak duality certifies that both are optimal. The strict first-column dual slack and the two active primal equations also show uniqueness of the primal optimum; positivity of forces the two dual equations, so the dual optimum is unique as well.
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