Balbás, Alejandro; Balbás, Raquel; Garrido, José - In: European Journal of Operational Research 201 (2010) 1, pp. 23-33
The paper addresses pricing issues in imperfect and/or incomplete markets if the risk level of the hedging strategy is measured by a general risk function. Convex Optimization Theory is used in order to extend pricing rules for a wide family of risk functions, including Deviation Measures,...