OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS

被引：31

作者：

Kallsen, Jan ^{[1
]}

Muhle-Karbe, Johannes ^{[2
,3
]}

机构：

[1] Univ Kiel, Kiel, Germany

[2] ETH, CH-8092 Zurich, Switzerland

[3] Swiss Finance Inst, Lausanne, Switzerland

来源：

MATHEMATICAL FINANCE | 2015年 / 25卷 / 04期

基金：

瑞士国家科学基金会;

关键词：

transaction costs; indifference pricing and hedging; exponential utility; asymptotics; PORTFOLIO SELECTION;

D O I：

10.1111/mafi.12035

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

An investor with constant absolute risk aversion trades a risky asset with general Ito-dynamics, in the presence of small proportional transaction costs. In this setting, we formally derive a leading-order optimal trading policy and the associated welfare, expressed in terms of the local dynamics of the frictionless optimizer. By applying these results in the presence of a random endowment, we obtain asymptotic formulas for utility indifference prices and hedging strategies in the presence of small transaction costs.

引用

页码：702 / 723

页数：22

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