Abstract
In an incomplete Brownian-motion market setting, we propose a convex monotonic pricing functional for nonattainable bounded contingent claims which is compatible with prices for attainable claims. The pricing functional is defined as the convex conjugate of a generalized entropy penalty functional and an interpretation in terms of tracking with instantaneously vanishing risk can be given.
Citation
Johannes Leitner. "Convex pricing by a generalized entropy penalty." Ann. Appl. Probab. 18 (2) 620 - 631, April 2008. https://doi.org/10.1214/07-AAP466
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