Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework
Work
Year: 2020
Type: article
Abstract: This paper formulates a utility indifference pricing model for investors trading in a discrete time financial market under nondominated model uncertainty. Investor preferences are described by possib... more
Source: Mathematical Finance
Authors Romain Blanchard, Laurence Carassus
Cites: 70
Cited by:
Related to: 10
FWCI:
Citation percentile (by year/subfield):
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Reduced inequalities
Open Access status: green