TY  - RPRT
AU  - Vilar-Zanón, José Luis
AU  - Rogo, Barbara
PY  - 2022
UR  - https://hdl.handle.net/20.500.14352/4340
AB  - We work in an incomplete market with finite states. We obtain all the no arbitrage prices of a financial claim associating them to  entropy levels. This is done by means of convex programs with an entropy constraint. We apply Fenchel duality to...
LA  - eng
KW  - Finance
KW  - Convex programming
KW  - Pricing
KW  - Convex duality
KW  - Hedging.
TI  - Application of Convex Duality to the risk hedging of financial claims
TY  - technical report
ER  -