{
  "id": "1401.3261",
  "version": "v2",
  "published": "2014-01-14T17:15:04.000Z",
  "updated": "2015-04-04T12:19:03.000Z",
  "title": "General indifference pricing with small transaction costs",
  "authors": [
    "Dylan Possamaï",
    "Guillaume Royer"
  ],
  "comment": "43 pages",
  "categories": [
    "math.OC",
    "math.AP",
    "q-fin.PM"
  ],
  "abstract": "We study the utility indifference price of a European option in the context of small transaction costs. Considering the general setup allowing consumption and a general utility function at final time T, we obtain an asymptotic expansion of the utility indifference price as a function of the asymptotic expansions of the utility maximization problems with and without the European contingent claim. We use the tools developed in [54] and [48] based on homogenization and viscosity solutions to characterize these expansions. Finally we study more precisely the example of exponential utilities, in particular recovering under weaker assumptions the results of [6].",
  "revisions": [
    {
      "version": "v1",
      "updated": "2014-01-14T17:15:04.000Z",
      "abstract": "We study the utility indifference price of a European option in the context of small transaction costs. Considering the general setup allowing consumption and a general utility function at final time T, we obtain an asymptotic expansion of the utility indifference price as a function of the asymptotic expansions of the utility maximization problems with and without the European contingent claim. We use the tools developed in [51] and [45] based on homogenization and viscosity solutions to characterize these expansions. Finally we provide two examples, in particular recovering under weaker assumptions the results of [6].",
      "comment": "46 pages",
      "journal": null,
      "doi": null
    },
    {
      "version": "v2",
      "updated": "2015-04-04T12:19:03.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "small transaction costs",
      "general indifference pricing",
      "utility indifference price",
      "asymptotic expansion",
      "general utility function"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 43,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2014arXiv1401.3261P"
    }
  }
}