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
收藏
页码：702 / 723
页数：22
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