TY  - JOUR
AU  - Vilar Zanón, José Luis
AU  - Rogo,  Barbara
PY  - 2024
DO  - 10.1007/s11009-024-10099-6
UR  - https://hdl.handle.net/20.500.14352/108279
T2  - Methodology and Computing in Applied Probability
AB  - We present a new approach to the problem of characterizing and choosing equivalent martingale pricing measures for a contingent claim, in a finite-state incomplete market. This is the entropy segmentation method achieved by means of convex...
LA  - eng
M2  - 1
PB  - Springer
KW  - Convex programming
KW  - Fenchel duality
KW  - Entropy Finance
KW  - Cliquet guarantee
TI  - Pricing and Hedging Contingent Claims by Entropy Segmentation and Fenchel Duality
TY  - journal article
VL  - 26
ER  -