Option pricing by large risk aversion utility under transaction costs

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.

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Year of publication:	2001-11
Authors:	Bouchard, Bruno ; Touzi, Nizar ; Kabanov, Yuri
Institutions:	Université Paris-Dauphine (Paris IX)
Subject:	Mathematical Finance

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Series:	Economics Papers from University Paris Dauphine.
Type of publication:	Book / Working Paper
Notes:	Published in Decisions in economics and finance, 2001, Vol. 24, no. 2. pp. 127-136.Length: 9 pages
Classification:	D53 - Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010707773