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Preprints, Working Papers, ... Year : 2009

Risk-averse asymptotics for reservation prices

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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Dates and versions

hal-00374608 , version 1 (09-04-2009)

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Laurence Carassus, Miklos Rasonyi. Risk-averse asymptotics for reservation prices. 2009. ⟨hal-00374608⟩
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