Risk-averse asymptotics for reservation prices

2009/04/09 by Laurence Carassus, Carassus, Laurence, Miklos Rasonyi +1
Mathematics · #49L20 (Secondary) #91B16 #91B28 (Primary) 93E20 #FOS: Mathematics #Probability (math.PR) #math.PR #msc:49L20 #msc:91B16 #msc:91B28 #msc:93E20

paper · pdf · doi:10.48550/arxiv.0904.1480

arxiv created 2009/04/09 · arxiv updated 2009/12/01

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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• Discrete approximation of risk-based prices under volatility uncertainty