Option pricing by large risk aversion utility under transaction costs

Bouchard, Bruno; Kabanov, Yuri; Touzi, Nizar

Bouchard, Bruno; Kabanov, Yuri; Touzi, Nizar (2001), Option pricing by large risk aversion utility under transaction costs, Decisions in Economics and Finance, 24, 2, p. 127-136. http://dx.doi.org/10.1007/s102030170003

Type

Article accepté pour publication ou publié

Date

2001

Journal name

Decisions in Economics and Finance

Volume

Number

Publisher

Springer

Pages

127-136

Abstract (EN)

We 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.

Subjects / Keywords

Mathematical Finance

JEL

D53 - Financial Markets