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General indifference pricing with small transaction costs

dc.contributor.authorPossamaï, Dylan
dc.contributor.authorRoyer, Guillaume
dc.date.accessioned2014-01-30T09:34:19Z
dc.date.available2014-01-30T09:34:19Z
dc.date.issued2017
dc.identifier.issn0921-7134
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12550
dc.language.isoenen
dc.subjecttransaction costs
dc.subjectviscosity solutions
dc.subjecthomogenization
dc.subjectutility indifference pricing
dc.subjectasymptotic expansions
dc.subject.ddc519en
dc.subject.classificationjelD23en
dc.titleGeneral indifference pricing with small transaction costs
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherCMAP, Ecole Polytechnique Paris,;France
dc.description.abstractenWe 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].
dc.publisher.cityParisen
dc.relation.isversionofjnlnameAsymptotic Analysis
dc.relation.isversionofjnlvol102
dc.relation.isversionofjnlissue3-4
dc.relation.isversionofjnldate2017
dc.relation.isversionofjnlpages177-226
dc.relation.isversionofdoi10.3233/ASY-171415
dc.identifier.urlsitehttps://arxiv.org/abs/1401.3261v2
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.submittednonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-04-20T07:35:50Z


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