Risk-averse asymptotics for reservation prices

Details Risk-averse asymptotics for reservation prices Risk-averse asymptotics for reservation prices

2009-04-09

arxiv.org/abs/0904.1480v1

Mathematics

Probability

Scientific paper

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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