Risk-averse asymptotics for reservation prices
نویسندگان
چکیده
منابع مشابه
Risk-averse asymptotics for reservation prices
An investor’s risk aversion is assumed to tend to infinity. In a fairly general setting, we present conditions ensuring that the respective utility indifference prices of a given contingent claim converge to its superreplication price.
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ژورنال
عنوان ژورنال: Annals of Finance
سال: 2010
ISSN: 1614-2446,1614-2454
DOI: 10.1007/s10436-010-0167-1