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.
Publié le : 2008-04-15
Classification:
Hedging with vanishing risk,
generalized entropy,
quadratic BSDE,
93E20,
91B28,
58E17
@article{1206018199,
author = {Leitner, Johannes},
title = {Convex pricing by a generalized entropy penalty},
journal = {Ann. Appl. Probab.},
volume = {18},
number = {1},
year = {2008},
pages = { 620-631},
language = {en},
url = {http://dml.mathdoc.fr/item/1206018199}
}
Leitner, Johannes. Convex pricing by a generalized entropy penalty. Ann. Appl. Probab., Tome 18 (2008) no. 1, pp. 620-631. http://gdmltest.u-ga.fr/item/1206018199/