Option pricing by large risk aversion utility¶under transaction costs

B. Bouchard, Yu. M. Kabanov and N. Touzi
Authors registered in the RePEc Author Service: Юрий Михайлович Кабанов

Decisions in Economics and Finance, 2001, vol. 24, issue 2, 127-136

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. Copyright Springer-Verlag Italia 2001

Keywords: Mathematics Subject Classification (2000): 91B28; Journal of Economic Literature Classification: G11 (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:decfin:v:24:y:2001:i:2:p:127-136

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DOI: 10.1007/s102030170003

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