英文标题：
《Convergence of utility indifference prices to the superreplication price
in a multiple-priors framework》
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作者：
Romain Blanchard, Laurence Carassus
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最新提交年份：
2020
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英文摘要：
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.
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中文摘要：
在非支配模型不确定性条件下，建立了离散时间金融市场中投资者交易的效用无差异定价模型。投资者偏好通过定义在正轴上的严格递增凹随机函数来描述。我们证明了在适当的条件下，未定权益的多先验效用无差异价格收敛于其多先验超复制价格。我们还重新讨论了随机效用函数的确定性等价概念，并建立了它与绝对风险厌恶的关系。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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