Convergence of utility indifference prices to the superreplication price: the whole real line case
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.
scientific article; zbMATH DE number 5172608
scientific article