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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.
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https://hal.archives-ouvertes.fr/hal-01883423
Contributor : Romain Blanchard <>
Submitted on : Friday, September 28, 2018 - 10:39:35 AM
Last modification on : Friday, March 27, 2020 - 3:05:54 AM
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  • HAL Id : hal-01883423, version 1

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

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