Risk-averse asymptotics for reservation prices
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Publication:635966
DOI10.1007/s10436-010-0167-1zbMath1219.91157arXiv0904.1480OpenAlexW2052310752MaRDI QIDQ635966
Miklós Rásonyi, Laurence Carassus
Publication date: 25 August 2011
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0904.1480
Utility theory (91B16) Generalizations of martingales (60G48) Financial applications of other theories (91G80)
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PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS, Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework, A note on utility based pricing and asymptotic risk diversification
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