Abstract
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 positive axis. Under suitable conditions, we show that the utility indifference prices of a bounded contingent claim converge to its superreplication price when the investors’ absolute risk-aversion tends to infinity.
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Carassus, L., Rásonyi, M. Convergence of Utility Indifference Prices to the Superreplication Price. Math Meth Oper Res 64, 145–154 (2006). https://doi.org/10.1007/s00186-006-0074-4
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DOI: https://doi.org/10.1007/s00186-006-0074-4