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Risk-averse asymptotics for reservation prices

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  • Laurence Carassus
  • Miklós Rásonyi

Abstract

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Suggested Citation

  • Laurence Carassus & Miklós Rásonyi, 2011. "Risk-averse asymptotics for reservation prices," Annals of Finance, Springer, vol. 7(3), pages 375-387, August.
    • Handle: RePEc:kap:annfin:v:7:y:2011:i:3:p:375-387
    DOI: 10.1007/s10436-010-0167-1
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    References listed on IDEAS

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    1. Constantinos Kardaras & Gordan Zitkovic, 2007. "Stability of the utility maximization problem with random endowment in incomplete markets," Papers 0706.0482, arXiv.org, revised Mar 2010.
    2. Freddy Delbaen & Peter Grandits & Thorsten Rheinländer & Dominick Samperi & Martin Schweizer & Christophe Stricker, 2002. "Exponential Hedging and Entropic Penalties," Mathematical Finance, Wiley Blackwell, vol. 12(2), pages 99-123, April.
    3. Miklos Rasonyi & Lukasz Stettner, 2005. "On utility maximization in discrete-time financial market models," Papers math/0505243, arXiv.org.
    4. Kasper Larsen, 2009. "Continuity Of Utility‐Maximization With Respect To Preferences," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 237-250, April.
    5. Richard Rouge & Nicole El Karoui, 2000. "Pricing Via Utility Maximization and Entropy," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 259-276, April.
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    Citations

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    Cited by:

    1. Scott Robertson, 2012. "Pricing for Large Positions in Contingent Claims," Papers 1202.4007, arXiv.org, revised Dec 2013.
    2. Romain Blanchard & Laurence Carassus, 2017. "Convergence of utility indifference prices to the superreplication price in a multiple-priors framework," Papers 1709.09465, arXiv.org, revised Oct 2020.

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    More about this item

    Keywords

    Utility indifference price; Superreplication price; Convergence; Utility maximization; Risk aversion; C61; C62; G11; G12;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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