Option pricing by large risk aversion utility¶under transaction costs
Option pricing by large risk aversion utility¶under transaction costs
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大型风险规避效用的期权定价¶在交易成本下
DOI：
10.1007/s102030170003
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发表时间：
2001
影响因子：
1.1
通讯作者：
N. Touzi
中科院分区：
文献类型：
--
作者：
B. Bouchard;Y. Kabanov;N. Touzi
摘要：我们考虑了一个具有交易费用的多资产连续时间金融市场模型，证明了对于一个强烈风险厌恶的投资者，未定权益的保留价格接近于初始捐赠清算价值所增加的超复制价格。
Abstract.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.