Convergence of Utility Indifference Prices to the Superreplication Price: the Whole Real Line Case

• Autores: Laurence Carassus, Miklós Rásonyi
• Localización: Acta applicandae mathematicae, ISSN 0167-8019, Vol. 96, Nº. 1-3, 2007, págs. 119-135
• Idioma: inglés
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• Resumen

  • A discrete-time financial market model is considered with a sequence of investors whose preferences are described by concave strictly increasing functions defined on the whole real line. Under suitable conditions we prove that, whenever their absolute risk-aversion tends to infinity, the respective utility indifference prices of a given bounded contingent claim converge to the superreplication price. We also prove that there exists an accumulation point of the optimal strategies' sequence which is a superhedging strategy.