I don't know what the prices are like in Copenhagen so can't compare. But you can find duvets of all weights and fills at Hagkaup stores in Reykjavik - try Kringlan but if no joy there make the journey to Smaralind.
There are also speciality shops selling Icelandic eiderdown filled duvets, with the down coming from Myvatn. Try
www.dunogfidur.is - good luck.