Risk-averse asymptotics for reservation prices

DOI10.1007/S10436-010-0167-1MaRDI QIDQ635966zbMATH OpenOpenAlexFDO

Authors Laurence Carassus, Miklós Rásonyi

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

zbMATH Keywords

convergencerisk aversionsuperreplication priceutility indifference priceutility maximization

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Utility theory (91B16) Financial applications of other theories (91G80)

Abstract: An investor's risk aversion is assumed to tend to infinity. In a fairly general setting, we present conditions ensuring that the respective utility indifference prices of a given contingent claim converge to its super replication price.

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Cited in

(5)

• Properties of bid and ask reservation prices in the rank-dependent expected utility model
• A note on utility based pricing and asymptotic risk diversification
• Pricing for large positions in contingent claims
• Risk analysis of a pay to delay capacity reservation contract
• Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework

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