Convergence of utility indifference prices to the superreplication price

DOI10.1007/s00186-006-0074-4zbMath1102.91037OpenAlexW2011787450MaRDI QIDQ857825

Miklós Rásonyi, Laurence Carassus

Publication date: 5 January 2007

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-006-0074-4

zbMATH Keywords

ConvergenceUtility maximizationRisk aversionSuperreplication priceUtility indifference price

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items

Convergence of utility indifference prices to the superreplication price, Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework, Risk aversion asymptotics for power utility maximization, Risk-averse asymptotics for reservation prices, Risk averse asymptotics in a Black--Scholes market on a finite time horizon, An example of a stochastic equilibrium with incomplete markets, Option pricing by mathematical programming†, Convergence of utility indifference prices to the superreplication price: the whole real line case, Risk-neutral pricing for arbitrage pricing theory

Cites Work

• Unnamed Item
• Unnamed Item
• On utility maximization in discrete-time financial market models
• Convergence of utility indifference prices to the superreplication price
• Pricing and hedging in the presence of extraneous risks
• Hedging contingent claims with constrained portfolios
• Optional decomposition and Lagrange multipliers
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• Option pricing by large risk aversion utility under transaction costs
• On value preserving and growth optimal portfolios
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Utility maximization under increasing risk aversion in one-period models
• Pricing Via Utility Maximization and Entropy
• Portfolio Optimization and Martingale Measures
• Exponential Hedging and Entropic Penalties
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Risk Aversion in the Small and in the Large
• Optimal Strategies and Utility-Based Prices Converge When Agents’ Preferences Do