Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework

DOI10.1111/mafi.12288zbMath1522.91239arXiv1709.09465OpenAlexW3093043684MaRDI QIDQ6054138

Laurence Carassus, Romain Blanchard

Publication date: 27 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.09465

zbMATH Keywords

utility indifference priceKnightian uncertaintysuperreplication pricenondominated modelabsolute risk aversionmultiple-priors

Mathematics Subject Classification ID

Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Universal arbitrage aggregator in discrete-time markets under uncertainty
• Super-replication with nonlinear transaction costs and volatility uncertainty
• Model-independent bounds for option prices -- a mass transport approach
• Quasi-sure stochastic analysis through aggregation
• Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces
• Martingale optimal transport and robust hedging in continuous time
• Robust pricing and hedging of double no-touch options
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Uncertainty averse preferences
• Risk-averse asymptotics for reservation prices
• Exponential utility maximization under model uncertainty for unbounded endowments
• Duality for increasing convex functionals with countably many marginal constraints
• Convergence of utility indifference prices to the superreplication price
• Put-call parity and market frictions
• Convergence of utility indifference prices to the superreplication price: the whole real line case
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Maxmin expected utility with non-unique prior
• Martingales and arbitrage in multiperiod securities markets
• Arbitrage and equilibrium in economies with infinitely many commodities
• Martingales and stochastic integrals in the theory of continuous trading
• Convex duality in constrained portfolio optimization
• Robust hedging of the lookback option
• Recursive multiple-priors.
• Dynamically consistent investment under model uncertainty: the robust forward criteria
• Indifference pricing with uncertainty averse preferences
• No-arbitrage with multiple-priors in discrete time
• A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
• Arbitrage and duality in nondominated discrete-time models
• Ambiguous volatility, possibility and utility in continuous time
• The mathematics of arbitrage
• Pricing Via Utility Maximization and Entropy
• Coherent Measures of Risk
• A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
• UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME
• Risk, Ambiguity, and the Savage Axioms
• Robust Hedging of Double Touch Barrier Options
• THE RANGE OF TRADED OPTION PRICES
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Optimal Stopping With Multiple Priors
• Prospect Theory: An Analysis of Decision under Risk
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• Exponential Hedging and Entropic Penalties
• Performance of utility-based strategies for hedging basis risk
• Super-replication price: it can be ok
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Super-replication in stochastic volatility models under portfolio constraints
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Uncertain volatility and the risk-free synthesis of derivatives
• The Robust Superreplication Problem: A Dynamic Approach
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Risk Aversion in the Small and in the Large
• Optimal Strategies and Utility-Based Prices Converge When Agents’ Preferences Do
• Stochastic finance. An introduction in discrete time