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Option pricing by large risk aversion utility under transaction costs

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Date
2001
Dewey
Probabilités et mathématiques appliquées
Sujet
Mathematical Finance
JEL code
D53
Journal issue
Decisions in Economics and Finance
Volume
24
Number
2
Publication date
2001
Article pages
127-136
Publisher
Springer
DOI
http://dx.doi.org/10.1007/s102030170003
URI
https://basepub.dauphine.fr/handle/123456789/1800
Collections
  • CEREMADE : Publications
Metadata
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Author
Bouchard, Bruno
Kabanov, Yuri
Touzi, Nizar
Type
Article accepté pour publication ou publié
Abstract (EN)
We consider a multi-asset continuous-time model of a financial market with transaction costs and prove that, for a strongly risk-averse investor, the reservation price of a contingent claim approaches the super-replication price increased by the liquidation value of the initial endowment.

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