most citedConvex pricing by a generalized entropy penalty

1 citations · 1 across the 1 of their papers we have counts for

collaborators

1 paper

q-fin.PR2008★ 1 cited

Convex pricing by a generalized entropy penalty

Johannes Leitner

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 at…