Option pricing by large risk aversion utility¶under transaction costs

We consider a multi-asset continuous-time model of a financial market with transaction costs and prove that, for a strongly risk-averse investor, the reservation price of a contingent claim approaches the super-replication price increased by the liquidation value of the initial endowment. Copyright Springer-Verlag Italia 2001

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Year of publication:	2001
Authors:	Bouchard, B. ; Kabanov, Yu. M. ; Touzi, N.
Published in:	Decisions in Economics and Finance. - Springer, ISSN 1593-8883. - Vol. 24.2001, 2, p. 127-136
Publisher:	Springer
Subject:	Mathematics Subject Classification (2000): 91B28 \| Journal of Economic Literature Classification: G11

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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