General indifference pricing with small transaction costs
Possamaï, Dylan; Royer, Guillaume (2017), General indifference pricing with small transaction costs, Asymptotic Analysis, 102, 3-4, p. 177-226. 10.3233/ASY-171415
Type
Article accepté pour publication ou publiéExternal document link
https://arxiv.org/abs/1401.3261v2Date
2017Journal name
Asymptotic AnalysisVolume
102Number
3-4Publisher
Elsevier
Published in
Paris
Pages
177-226
Publication identifier
Metadata
Show full item recordAbstract (EN)
We study the utility indifference price of a European option in the context of smalltransaction costs. Considering the general setup allowingconsumption and a general utilityfunction at final timeT, we obtain an asymptotic expansion of the utility indifference priceas a function of the asymptotic expansions of the utility maximization problems with andwithout the European contingent claim. We use the tools developed in [51] and [45] basedon homogenization and viscosity solutions to characterizethese expansions. Finally weprovide two examples, in particular recovering under weaker assumptions the results of [6].Subjects / Keywords
transaction costs; viscosity solutions; homogenization; utility indifference pricing; asymptotic expansionsRelated items
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