Convex pricing by a generalized entropy penalty

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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.
Published in at http://dx.doi.org/10.1214/07-AAP466 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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Pricing of Securities, Probability, 93E20, 91B28, 58E17 (Primary)

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http://salesiana.dossiersoluciones.com/handle/123456789/212270

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0804.0127
 http://arxiv.org/abs/0804.0127
 Annals of Applied Probability 2008, Vol. 18, No. 2, 620-631
 doi:10.1214/07-AAP466

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arXiv