Risk-averse asymptotics for reservation prices
Probability
2009-04-10 v1
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.
Keywords
Cite
@article{arxiv.0904.1480,
title = {Risk-averse asymptotics for reservation prices},
author = {Laurence Carassus and Miklos Rasonyi},
journal= {arXiv preprint arXiv:0904.1480},
year = {2009}
}