General indifference pricing with small transaction costs - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Asymptotic Analysis Année : 2017

General indifference pricing with small transaction costs

Résumé

We study the utility indifference price of a European option in the context of small transaction costs. Considering the general setup allowing consumption and a general utility function at final time T, we obtain an asymptotic expansion of the utility indifference price as a function of the asymptotic expansions of the utility maximization problems with and without the European contingent claim. We use the tools developed in [54] and [48] based on homogenization and viscosity solutions to characterize these expansions. Finally we study more precisely the example of exponential utilities, in particular recovering under weaker assumptions the results of [6].

Dates et versions

hal-01481367 , version 1 (02-03-2017)

Identifiants

Citer

Dylan Possamaï, Guillaume Royer. General indifference pricing with small transaction costs. Asymptotic Analysis, 2017, 102 (3-4), pp.177-226. ⟨10.3233/ASY-171415⟩. ⟨hal-01481367⟩
141 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More