Mathematical and Computational Finance Seminar

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Past events in this series
9 November 2017
16:00
to
17:30
Abstract

This paper formulates an 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 random functions defined on the positive axis. We prove that under suitable
conditions the multiple-priors utility indifference prices of a contingent claim converge to its multiple-priors superreplication price. We also
revisit the notion of certainty equivalent for random utility functions and establish its relation with the absolute risk aversion.

  • Mathematical and Computational Finance Seminar
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