Convergence of utility indifference prices to the superreplication price

Carassus, Laurence and Rásonyi, Miklós (2006) Convergence of utility indifference prices to the superreplication price. Mathematical Methods of Operations Research, 64. pp. 145-154.

Full text not available from this repository.

Abstract

A discrete-time financial market model is considered with a sequence of investors whose references are described by concave strictly increasing functions defined on the positive axis. Under suitable conditions, we show that the utility indifference prices of a bounded contingent claim converge to its superreplication price when the investors' absolute risk-aversion tends to infinity.

Item Type: ISI Article
Subjects: Q Science > QA Mathematics and Computer Science > QA75 Electronic computers. Computer science / számítástechnika, számítógéptudomány
Depositing User: Eszter Nagy
Date Deposited: 11 Dec 2012 15:27
Last Modified: 11 Dec 2012 15:27
URI: http://eprints.sztaki.hu/id/eprint/4603

Update Item Update Item