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dc.contributor.authorBouchard, Bruno
dc.contributor.authorKabanov, Yuri
dc.contributor.authorTouzi, Nizar
dc.date.accessioned2009-09-21T08:38:20Z
dc.date.available2009-09-21T08:38:20Z
dc.date.issued2001
dc.identifier.issn1593-8883
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/1800
dc.language.isoenen
dc.subjectMathematical Finance
dc.subject.ddc519en
dc.subject.classificationjelD53en
dc.titleOption pricing by large risk aversion utility under transaction costs
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversité de Besançon;France
dc.description.abstractenWe 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.
dc.relation.isversionofjnlnameDecisions in Economics and Finance
dc.relation.isversionofjnlvol24
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2001
dc.relation.isversionofjnlpages127-136
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s102030170003
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2020-05-20T04:46:44Z


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