Convergence of Utility Indifference Prices to the Superreplication Price
نویسندگان
چکیده
A discrete-time financial market model is considered with a sequence of investors whose preferences are described by concave strictly increasing functions defined on the positive axis. Under suitable conditions we show that, whenever their absolute risk-aversion tends to infinity, the respective utility indifference prices of a given bounded contingent claim converge to the superreplication price.
منابع مشابه
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ورودعنوان ژورنال:
- Math. Meth. of OR
دوره 64 شماره
صفحات -
تاریخ انتشار 2006