Option pricing by large risk aversion utility under transaction costs (Q1601359)

A multi-asset continuous-time model of a financial market with transaction costs is considered in this paper. It is proved that, for a strongly risk-averse investor, the reservation price of a contingent claim approaches the superreplication price increased by the liquidation value of the initial endowment. The authors use duality methods in contrast to \textit{B. Bouchard} [Cahiers de Mathematiques du CEREMADE 2000-0006. CRMD, Universite de Paris IX, Dauphine (2000)], where the result was obtained in a Markovian setting via an asymptotic analysis of viscosity solutions of HJB equations.