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


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 ]


  1. Romain Blanchard (LMR, Universite Reims Champagne-Ardenne)
  2. Laurence Carassus (Research Center, Leonard de Vinci Pole universitaire and LMR, Universite Reims Champagne-Ardenne)

Topic Areas

Incompleteness , Robustness , Utility Theory


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

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