Risk-averse asymptotics for reservation prices

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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2009
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Contributor : Laurence Carassus <>
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  • HAL Id : hal-00374608, version 1
  • ARXIV : 0904.1480

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Laurence Carassus, Miklos Rasonyi. Risk-averse asymptotics for reservation prices. 2009. 〈hal-00374608〉

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