Faculty in Mathematical Finance
Math Finance Home
Conferences
Seminars
People
Open Positions
Contact |
Probability and Computational Finance Seminar
Kimberly Weston Carnegie Melllon University Title: A Counterexample to Indifference Price Stability Abstract: Consider a contingent claim whose underlying is not replicable yet is highly correlated with a traded asset. As the correlation between the underlying and traded asset increases to 1, do the claim's indifference prices converge to the arbitrage-free price? In this talk, I'll present a simple counterexample in a Brownian setting with power utility where the indifference prices do not converge. Date: Monday, March 17, 2014 Time: 5:00 pm Location: Wean Hall 8427 Submitted by: Kasper Larsen |