# Convex pricing by a generalized entropy penalty

@article{Leitner2008ConvexPB,
title={Convex pricing by a generalized entropy penalty},
author={Johannes Leitner},
journal={Annals of Applied Probability},
year={2008},
volume={18},
pages={620-631}
}
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.
1 Citations
Pricing principle via Tsallis relative entropy in incomplete market
A pricing principle is proposed for non-attainable q-exponential bounded contingent claims in an incomplete Brownian motion market setting. This pricing functional is compatible with prices for

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