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 super-replication cost if the initial endowment is only invested in the non-risky asset, as it was conjectured in Barles and Soner (1996).
 
 
OPTION PRICING VIA UTILITY MAXIMIZATION IN THE PRESENCE OF TRANSACTION COSTS : AN ASYMPTOTIC ANALYSIS
BOUCHARD Bruno
2000-6
25-01-2000
 
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