Convergence of Utility Indifference Prices to the Superreplication Price

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 the utility indifference prices of a bounded contingent claim converge to its superreplication price when the investors’ absolute risk-aversion tends to infinity. Copyright Springer-Verlag 2006

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Year of publication:	2006
Authors:	Carassus, Laurence ; Rásonyi, Miklós
Published in:	Mathematical Methods of Operations Research. - Springer. - Vol. 64.2006, 1, p. 145-154
Publisher:	Springer
Subject:	Utility indifference price \| Superreplication price \| Convergence \| Utility maximization \| Risk aversion

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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