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

DOI10.1007/S10440-007-9091-4MaRDI QIDQ996718zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

derivative pricingutility indifferencesuperrepliation priceutility maximation

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1619455 (Why is no real title available?)
• scientific article; zbMATH DE number 2127977 (Why is no real title available?)
• scientific article; zbMATH DE number 3342731 (Why is no real title available?)
• Convergence of utility indifference prices to the superreplication price
• Exponential Hedging and Entropic Penalties
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• On utility maximization in discrete-time financial market models
• On value preserving and growth optimal portfolios
• Optimal Strategies and Utility-Based Prices Converge When Agents’ Preferences Do
• Optimal investment in incomplete markets when wealth may become negative.
• Optional decomposition and Lagrange multipliers
• Portfolio optimization and martingale measures
• Rational hedging and valuation of integrated risks under constant absolute risk aversion.
• Risk Averse Asymptotics and the Optional Decomposition
• Risk Aversion in the Small and in the Large
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Utility maximization under increasing risk aversion in one-period models

Cited in

(7)

• 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
• scientific article; zbMATH DE number 2127972 (Why is no real title available?)
• Convergence of utility indifference prices to the superreplication price
• Pricing for large positions in contingent claims
• Convergence of the equilibrium prices in a family of financial models
• Risk-averse asymptotics for reservation prices

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