Full list of prisoner options:
-Release them after capturing them to gain favor with them (but he will respawn an army rather quickly against you)
-Keep them and travel to a kingdom that is at war with them and find a Lord who will buy the prisoner for you (this will gain you some money and he will still be a prisoner till he escapes from them or is released).
-Keep them and wait for an offer of ransom (usually higher than opposing lords offer in option 2).
NOTE: If you own a town or a castle, you can transfer them (and any prisoners) to the dungeon there, so they don't take up your prisoner party space. ALSO, if you upgrade that dungeon, then you signifigantly decrease the odds that the prisoner will be able to escape.
Normal odds of a prisoner escaping is 1 out of 5 per day.
Upgraded Dungeon odds of escape is 1 out of 30 per day.