Convergence of utility indifference prices to the superreplication price

DOI10.1007/s00186-006-0074-4zbMath1102.91037OpenAlexW2011787450MaRDI QIDQ857825

Miklós Rásonyi, Laurence Carassus

Publication date: 5 January 2007

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-006-0074-4

zbMATH Keywords

ConvergenceUtility maximizationRisk aversionSuperreplication priceUtility indifference price

Mathematics Subject Classification ID

Related Items (9)

Convergence of utility indifference prices to the superreplication price ⋮ Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework ⋮ Risk aversion asymptotics for power utility maximization ⋮ Risk-averse asymptotics for reservation prices ⋮ Risk averse asymptotics in a Black--Scholes market on a finite time horizon ⋮ An example of a stochastic equilibrium with incomplete markets ⋮ Option pricing by mathematical programming† ⋮ Convergence of utility indifference prices to the superreplication price: the whole real line case ⋮ Risk-neutral pricing for arbitrage pricing theory

Cites Work

• Unnamed Item
• Unnamed Item
• On utility maximization in discrete-time financial market models
• Convergence of utility indifference prices to the superreplication price
• Pricing and hedging in the presence of extraneous risks
• Hedging contingent claims with constrained portfolios
• Optional decomposition and Lagrange multipliers
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• Option pricing by large risk aversion utility under transaction costs
• On value preserving and growth optimal portfolios
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Utility maximization under increasing risk aversion in one-period models
• Pricing Via Utility Maximization and Entropy
• Portfolio Optimization and Martingale Measures
• Exponential Hedging and Entropic Penalties
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Risk Aversion in the Small and in the Large
• Optimal Strategies and Utility-Based Prices Converge When Agents’ Preferences Do

This page was built for publication: Convergence of utility indifference prices to the superreplication price