Convergence of utility indifference prices to the superreplication price: the whole real line case

DOI10.1007/s10440-007-9091-4zbMath1127.91024OpenAlexW4297949314MaRDI QIDQ996718

Miklós Rásonyi, Laurence Carassus

Publication date: 19 July 2007

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-007-9091-4

zbMATH Keywords

derivative pricingutility indifferencesuperrepliation priceutility maximation

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (3)

PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS ⋮ Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework ⋮ Risk-averse asymptotics for reservation prices

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