Option pricing by large risk aversion utility under transaction costs

DOI10.1007/s102030170003zbMath1011.91043OpenAlexW1964779855MaRDI QIDQ1601359

Yu. A. Kabanov, Bruno Bouchard, Nizar Touzi

Publication date: 31 May 2003

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s102030170003

zbMATH Keywords

option pricingtransaction costrisk aversion utility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

General indifference pricing with small transaction costs ⋮ On barrier option pricing in binomial market with transaction costs ⋮ On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper ⋮ No arbitrage conditions and liquidity ⋮ Convergence of utility indifference prices to the superreplication price ⋮ Essential supremum and essential maximum with respect to random preference relations ⋮ A Complement to the Grigoriev Theorem for the Kabanov Model ⋮ European option pricing and hedging with both fixed and proportional transaction costs ⋮ The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time ⋮ Option hedging theory under transaction costs ⋮ A note on utility-based pricing in models with transaction costs ⋮ Bounds for the utility-indifference prices of non-traded assets in incomplete markets

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