2026-07-072026-07-07http://salesiana.dossiersoluciones.com/handle/123456789/212270In 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)Pricing of SecuritiesProbability93E20, 91B28, 58E17 (Primary)text