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

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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:	https://eprints.sztaki.hu/id/eprint/4603

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