Convergence of Utility Indifference Prices to the Superreplication Price

被引：0
|
作者：
Laurence Carassus
Miklós Rásonyi
机构：
[1] Université Paris 7 Denis Diderot,Laboratoire de Probabilités et Modèles Aléatoires
[2] Computer and Automation Institute of the Hungarian Academy of Sciences,undefined
来源：
Mathematical Methods of Operations Research | 2006年 / 64卷
关键词：
Utility indifference price; Superreplication price; Convergence; Utility maximization; Risk aversion;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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 the utility indifference prices of a bounded contingent claim converge to its superreplication price when the investors’ absolute risk-aversion tends to infinity.
引用
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页码：145 / 154
页数：9
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