Convex pricing by a generalized entropy penalty

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dc.creatorLeitner, Johannes
dc.date2008-04-01
dc.date.accessioned2026-07-07T12:18:01Z
dc.date.available2026-07-07T12:18:01Z
dc.descriptionIn 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.
dc.descriptionPublished 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)
dc.identifierhttps://arxiv.org/abs/0804.0127
dc.identifierhttp://arxiv.org/abs/0804.0127
dc.identifierAnnals of Applied Probability 2008, Vol. 18, No. 2, 620-631
dc.identifierdoi:10.1214/07-AAP466
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/212270
dc.subjectPricing of Securities
dc.subjectProbability
dc.subject93E20, 91B28, 58E17 (Primary)
dc.titleConvex pricing by a generalized entropy penalty
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