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Convergence of utility indifference prices to superreplication price

Abstract : A discrete-time financial market model is considered with a sequence of investors whose preferences are described by concave strictly increasing functions defined on the positive axis. Under suitable conditions we show that, whenever their absolute risk-aversion tends to infinity, the respective utility indifference prices of a given bounded contingent claim converge to the superreplication price.
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https://hal.archives-ouvertes.fr/hal-00004274
Contributor : Laurence Carassus <>
Submitted on : Thursday, February 17, 2005 - 11:07:30 AM
Last modification on : Wednesday, December 9, 2020 - 3:12:11 PM
Long-term archiving on: : Monday, September 10, 2012 - 6:30:16 PM

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  • HAL Id : hal-00004274, version 1

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Laurence Carassus, Miklos Rasonyi. Convergence of utility indifference prices to superreplication price. 2005. ⟨hal-00004274⟩

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