Convex pricing by a generalized entropy penalty

• 成果类型: Article
• 署名作者: Leitner, Johannes
• 署名单位: Technische Universitat Wien
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/07-AAP466
• 发表日期: 2008
• 页码: 620-631
• 关键词: STOCHASTIC DIFFERENTIAL-EQUATIONS; martingale measure

摘要

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.