[量化金融] 基于广义熵罚的凸定价 [推广有奖]

摘要翻译：
在不完全布朗运动市场条件下，我们提出了一个凸单调定价泛函，该泛函对不可达的有界未定权益与可达权益的价格相容。将定价泛函定义为广义熵罚泛函的凸共轭，并给出了风险瞬时消失跟踪的解释。
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英文标题：
《Convex pricing by a generalized entropy penalty》
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作者：
Johannes Leitner
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  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.
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PDF链接：
https://arxiv.org/pdf/0804.0127