TY  - CHAP
AU  - Vilar Zanón, José Luis
AU  - Peraita Ezcurra, Olivia
PY  - 2018
DO  - 10.1007/978-3-319-89824-7_91
SN  - 978-3-319-89823-0
SN  - 978-3-319-89824-7
UR  - https://hdl.handle.net/20.500.14352/92764
AB  - In this contribution we study the problem of retrieving a risk neutral probability (RNP) in an incomplete market, with the aim of pricing non-traded assets and hedging their risk. The pricing issue has been often addressed in the literature finding an...
LA  - eng
M2  - 513
PB  - Springer
KW  - Pricing
KW  - Hedging
KW  - Entropy
KW  - Goal programming
TI  - Pricing Illiquid Assets by Entropy Maximization Through Linear Goal Programming
TY  - book part
ER  -