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.
Contributor : Laurence Carassus <>
Submitted on : Thursday, April 9, 2009 - 10:53:34 AM
Last modification on : Wednesday, October 12, 2016 - 1:03:50 AM
Document(s) archivé(s) le : Thursday, June 10, 2010 - 8:10:41 PM