Option pricing by large risk aversion utility under transaction costs

B. Bouchard; Yu M. Kabanov; N. Touzi

doi:10.1007/s102030170003

Option pricing by large risk aversion utility under transaction costs

B. Bouchard, Yu M. Kabanov, N. Touzi

Finance and Risk Engineering

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English (US)
Pages (from-to)	127-136
Number of pages	10
Journal	Decisions in Economics and Finance
Volume	24
Issue number	2
DOIs	https://doi.org/10.1007/s102030170003
State	Published - 2001

ASJC Scopus subject areas

Finance
Economics, Econometrics and Finance(all)

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Option pricing by large risk aversion utility under transaction costs

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