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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