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Pricing and hedging contingent claims by entropy segmentation and Fenchel duality - MaRDI portal

Pricing and hedging contingent claims by entropy segmentation and Fenchel duality

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Publication:6643667

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DOI10.1007/s11009-024-10099-6MaRDI QIDQ6643667

Barbara Rogo, José L. Vilar-Zanón

Publication date: 26 November 2024

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

zbMATH Keywords

entropy convex programming finance Fenchel duality cliquet guarantee

Mathematics Subject Classification ID

Convex programming (90C25) Optimality conditions and duality in mathematical programming (90C46) Derivative securities (option pricing, hedging, etc.) (91G20) Measures of information, entropy (94A17) Portfolio theory (91G10)

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