Gam, Andrea; Pellizzari, Paolo - In: Applied Mathematical Finance 9 (2002) 4, pp. 241-260
the payoff of the claim. The 'reservation price' is then introduced as a subjective valuation of a contingent claim. This … has been written, the writer hedges it according to the expected utility criterion. The reservation price is defined both … examples are provided with different utility functions and contingent claims. Some qualitative properties of the reservation …