Convergence of utility indifference prices to the superreplication price in a multiple-priors framework. (arXiv:1709.09465v1 [q-fin.MF])

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.