Convergence of utility indifference prices to the superreplication price in a multiple-priors framework

Abstract : This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave random functions defined on the positive axis. We prove that under suitable conditions the multiple-priors utility indifference prices of a contingent claim converge to its multiple-priors superreplication price. We also revisit the notion of certainty equivalent for random utility functions and establish its relation with the absolute risk aversion.
Type de document :
Pré-publication, Document de travail
2018
Liste complète des métadonnées

https://hal.archives-ouvertes.fr/hal-01883423
Contributeur : Romain Blanchard <>
Soumis le : vendredi 28 septembre 2018 - 10:39:35
Dernière modification le : vendredi 4 janvier 2019 - 17:32:34
Document(s) archivé(s) le : samedi 29 décembre 2018 - 13:59:09

Fichier

ArxivVersion.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-01883423, version 1

Collections

Citation

Romain Blanchard, Laurence Carassus. Convergence of utility indifference prices to the superreplication price in a multiple-priors framework. 2018. 〈hal-01883423〉

Partager

Métriques

Consultations de la notice

20

Téléchargements de fichiers

47