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In this paper, we show the moduli spaces of stable sheaves on K3 surfaces are irreducible symplectic manifolds, if the associated Mukai vectors are primitive. More precisely, we show that they are related to the Hilbert scheme of points. We also compute the period of these spaces. As an application of our result, we discuss Montonen-Olive duality in Physics. In particular our computations of Euler characteristics of moduli spaces are compatible with Physical computations by Minahan et al.

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