Option pricing by large risk aversion utility under transaction costs
Bouchard, Bruno; Kabanov, Yuri; Touzi, Nizar (2001), Option pricing by large risk aversion utility under transaction costs, Decisions in Economics and Finance, 24, 2, p. 127-136. http://dx.doi.org/10.1007/s102030170003
TypeArticle accepté pour publication ou publié
Journal nameDecisions in Economics and Finance
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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.
Subjects / KeywordsMathematical Finance
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