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
TypeArticle accepté pour publication ou publié
External document linkhttps://arxiv.org/abs/1401.3261v2
Journal nameAsymptotic Analysis
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Abstract (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  and  basedon homogenization and viscosity solutions to characterizethese expansions. Finally weprovide two examples, in particular recovering under weaker assumptions the results of .
Subjects / Keywordstransaction costs; viscosity solutions; homogenization; utility indifference pricing; asymptotic expansions
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