Cahiers du CEREMADE 

Unité
Mixte de Recherche du C.N.R.S. N°7534 

Abstract : We consider a multivariate financial market with proportional transaction costs as in Kabanov (1999). We study the problem of contingent claim pricing via utility maximization as in Hodges and Neuberger (1989). Using an exponential utility function, we derive a closed form characterization for the asymptotic price as the risk aversion tends to infinity. We prove that it is reduced to the superreplication cost if the initial endowment is only invested in the nonrisky asset, as it was conjectured in Barles and Soner (1996). 





20006 

25012000 

Université
de PARIS  DAUPHINE Place du Maréchal de Lattre De Tassigny  75775 PARIS CEDEX 16  FRANCE Téléphone : +33 (0)1 44054923  fax : +33 (0)1 44054599 