On the super replication price of unbounded claims

Annals of Applied Probability

Volumn 14, Issue 4, 2004, Pages 1970-1991

  Biagini, Sara ^a   Frittelli, Marco ^b  

^a UNIVERSITY OF PERUGIA   (Italy)

^b UNIVERSITY OF FLORENCE   (Italy)

Author keywords

Duality; Generalized entropy; Incomplete markets; Preferences; Reasonable asymptotic elasticity; Super replication price; Utility maximization

Indexed keywords

EID: 24144460850     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051604000000459     Document Type: Article

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