Convergence of utility indifference prices to the superreplication price: the whole real line case
type: Item
instance of: scholarly article
title: Convergence of utility indifference prices to the superreplication price: the whole real line case
zbMATH Open document ID: 1127.91024
author: Laurence Carassus
author: Miklós Rásonyi
published in: Acta Applicandae Mathematicae
publication date: 2007-07-19T00:00:00Z
review text: The authors consider a discrete time financial market model with a sequence of investors whose preferences are described by concave strictly increasing functions defined on the real numbers. Under suitable conditions they prove that, whenever the absolute risk-aversion tends to infinity, the respective utility indifference prices of a given bounded contingent claim converge to the superreplication price. They also prove that there exists an accumulation point of the optimal strategies' sequence which is a superhedging strategy.
reviewed by: Klaus Ehemann
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B16
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 5172608
zbMATH Keywords: derivative pricing
zbMATH Keywords: utility indifference
zbMATH Keywords: superrepliation price
zbMATH Keywords: utility maximation
MaRDI profile type: Publication
full work available at URL: s10440-007-9091-4
OpenAlex ID: W4297949314
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DOI: 10.1007/S10440-007-9091-4
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description: scientific article; zbMATH DE number 5172608