Risk-averse asymptotics for reservation prices

DOI10.1007/s10436-010-0167-1zbMath1219.91157arXiv0904.1480OpenAlexW2052310752MaRDI QIDQ635966

Miklós Rásonyi, Laurence Carassus

Publication date: 25 August 2011

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.1480

zbMATH Keywords

convergenceutility maximizationrisk aversionutility indifference pricesuperreplication price

Mathematics Subject Classification ID

Utility theory (91B16) Generalizations of martingales (60G48) Financial applications of other theories (91G80)

Related Items

PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS, Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework, A note on utility based pricing and asymptotic risk diversification

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