Convex pricing by a generalized entropy penalty

  title={Convex pricing by a generalized entropy penalty},
  author={Johannes Leitner},
  journal={Annals of Applied Probability},
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. 
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