Utility maximization under increasing risk aversion in one-period models

: It has been shown at different levels of generality that under increasing risk aversion utility indifference sell prices of a contingent claim converge to the super-replication price and the shortfalls of utility maximizing hedging portfolios starting from the super

• Type: Journal
• Year: 2006
• Where: FS
• Authors: Patrick Cheridito, Christopher Summer
• Keywords: Aversion Utility Indifference, Contingent Claim Converge, FS 2006, Super-replication Price