Risk-averse asymptotics for reservation prices

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dc.creatorCarassus, Laurence
dc.creatorRasonyi, Miklos
dc.date2009-04-09
dc.date.accessioned2026-07-07T13:01:55Z
dc.date.available2026-07-07T13:01:55Z
dc.descriptionAn 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.
dc.identifierhttps://arxiv.org/abs/0904.1480
dc.identifierhttp://arxiv.org/abs/0904.1480
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/226311
dc.subjectProbability
dc.subject91B16,91B28 (Primary) 93E20, 49L20 (Secondary)
dc.titleRisk-averse asymptotics for reservation prices
dc.typetext

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