General indifference pricing with small transaction costs
摘要：
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 [54] and [48] 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 [6].
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关键词：
Mathematics - Optimization and Control Mathematics - Analysis of PDEs Quantitative Finance - Portfolio Management
DOI：
10.48550/arXiv.1401.3261
被引量：
年份：
2017
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