Convergence of utility indifference prices to the superreplication price: the whole real line case

DOI10.1007/S10440-007-9091-4zbMATH Open1127.91024OpenAlexW4297949314MaRDI QIDQ996718FDOQ996718

Authors: Laurence Carassus, Miklós Rásonyi 

Publication date: 19 July 2007

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-007-9091-4

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zbMATH Keywords

derivative pricingutility indifferencesuperrepliation priceutility maximation

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

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Cited In (7)

• Convergence of the equilibrium prices in a family of financial models
• Title not available (Why is that?)
• Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework
• Convergence results for the indifference value based on the stability of BSDEs
• Risk-averse asymptotics for reservation prices
• Pricing for large positions in contingent claims
• Convergence of utility indifference prices to the superreplication price

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