TY - JOUR
AU - Royer, Guillaume
AB - 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 [SIAM Journal on Control and Optimization 51 (2013), 2893–2921] and [Communications in Partial Differential Equations 40 (2015), 2005–2046] 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 [SIAM Journal on Financial Mathematics 3 (2012), 433–458].
TI - General indifference pricing with small transaction costs
JF - Asymptotic Analysis
DO - 10.3233/asy-171415
DA - 2017-04-14
UR - https://www.deepdyve.com/lp/ios-press/general-indifference-pricing-with-small-transaction-costs-jAIqfVrvyk
SP - 177
EP - 226
VL - 102
IS - 3-4
DP - DeepDyve
ER -