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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 publié
External document link
https://arxiv.org/abs/1401.3261v2
Date
2017
Journal name
Asymptotic Analysis
Volume
102
Number
3-4
Publisher
Elsevier
Published in
Paris
Pages
177-226
Publication identifier
10.3233/ASY-171415
Metadata
Show full item record
Author(s)
Possamaï, Dylan
Royer, Guillaume
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 [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 expansions
JEL
D23 - Organizational Behavior; Transaction Costs; Property Rights

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