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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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https://hal.archives-ouvertes.fr/hal-00374608
Contributor : Laurence Carassus <>
Submitted on : Thursday, April 9, 2009 - 10:53:34 AM
Last modification on : Wednesday, December 9, 2020 - 3:12:10 PM
Long-term archiving on: : Thursday, June 10, 2010 - 8:10:41 PM

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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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