An agent's optimization problem of the expected terminal wealth utility in a trinomial tree economy is solved. At each transaction date, the agent can trade in a riskless asset, a primitive asset subject to constant proportional transaction costs, and a contingent claim characterized by some...

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....

We consider a financial market consisting of a nonrisky asset and a risky one. We study the minimal initial capital needed in order to super-replicate a given contingent claim under the Gamma constraint, i.e. a constraint on the unbounded variation part of the hedging porfolio. In the general...

We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing results in this literature in two directions. First, we allow for nonsmooth utility functions, so as to include the...

This paper is interested in small sample properties of the indirect inference procedure which has been previously studied only from an asymptotic point of view. First, we highlight the fact that the Andrews(1993) median-bias correction procedure for autoregresssive parameter of an AR(1) process...