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Risk-averse asymptotics for reservation prices

Author

Listed:
  • 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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    File URL: http://hdl.handle.net/10.1007/s10436-010-0167-1
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    References listed on IDEAS

    as
    1. Miklos Rasonyi & Lukasz Stettner, 2005. "On utility maximization in discrete-time financial market models," Papers math/0505243, arXiv.org.
    2. 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.
    3. Kasper Larsen, 2009. "Continuity Of Utility-Maximization With Respect To Preferences," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 237-250.
    Full references (including those not matched with items on IDEAS)

    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.

    More about this item

    Keywords

    Utility indifference price; Superreplication price; Convergence; Utility maximization; Risk aversion; C61; C62; G11; G12;

    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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