Continuous-time duality for superreplication with transient price impact
نویسندگان
چکیده
منابع مشابه
Convergence of Utility Indifference Prices to the Superreplication Price
A discrete-time financial market model is considered with a sequence of investors whose preferences are described by concave strictly increasing functions defined on the positive axis. Under suitable conditions we show that, whenever their absolute risk-aversion tends to infinity, the respective utility indifference prices of a given bounded contingent claim converge to the superreplication price.
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2019
ISSN: 1050-5164
DOI: 10.1214/19-aap1498