Convergence of utility indifference prices to superreplication price - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2005

Convergence of utility indifference prices to superreplication price

Résumé

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

hal-00004274 , version 1 (17-02-2005)

Identifiants

  • HAL Id : hal-00004274 , version 1

Citer

Laurence Carassus, Miklos Rasonyi. Convergence of utility indifference prices to superreplication price. 2005. ⟨hal-00004274⟩
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