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ArticleOption pricing by large risk aversion utility¶under transaction costs

Bruno Bouchard2001

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Articlegreen2001

Option pricing by large risk aversion utility¶under transaction costs

Bruno Bouchard · Yuri Kabanov · Nizar Touzi

32 citations·0/0 files stored·Decisions in Economics and Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1994Optimal Investment and Consumption with Transaction Costs 1989Optimal replication of contingent claims under transaction costs 1993European Option Pricing with Transaction Costs 2002Exponential Hedging and Entropic Penalties 1998Option pricing with transaction costs and a nonlinear Black-Scholes equation 1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 1999Hedging and liquidation under transaction costs in currency markets 1999A closed-form solution to the problem of super-replication under transaction costs

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2006Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs 2007No arbitrage conditions and liquidity 2005Bounds for the utility-indifference prices of non-traded assets in incomplete markets

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2000Consumption-investment problems with transaction costs: Survey and open problemsarticle · 7 shared references 2014Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investmentarticle · 7 shared references 2013OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTSarticle · 6 shared references 2012Option Pricing and Hedging with Small Transaction Costspreprint · 6 shared references 2004Asymptotic analysis for optimal investment and consumption with transaction costsarticle · 5 shared references 2003Option pricing with transaction costs using a Markov chain approximationarticle · 5 shared references

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Year2001

Typearticle

Published2001-11-01

VenueDecisions in Economics and Finance

ISSN-L1127-1035

Languageen

Citations32

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s102030170003

openalex_workW1964779855

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