Convergence of utility indifference prices to the superreplication price in a multiple-priors framework

Abstract

This paper formulates a utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave... [ view full abstract ]

Authors

  1. Romain Blanchard (LMR, Universit\'e Reims Champagne-Ardenne)
  2. Laurence Carassus (Research Center, L\'eonard de Vinci P\^ole universitaire and LMR, Universit\'e Reims Champagne-Ardenne)

Topic Areas

Incompleteness , Robustness , Utility Theory

Session

MO-P-EM » Robust Finance (14:30 - Monday, 16th July, Emmet)

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