Option Pricing in the Large Risk Aversion, Small Transaction Cost Limit
نویسندگان
چکیده
منابع مشابه
Option Pricing in the Large Risk Aversion, Small Transaction Cost Limit
We characterize the price of a European option on several assets for a very risk-averse seller, in a market with small transaction costs as a solution of a nonlinear diffusion equation. This problem turns out to be one of asymptotic analysis of parabolic PDE, and the interesting feature is the role of a nonlinear PDE eigenvalue problem. In particular, we generalize previous work of Guy Barles a...
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ژورنال
عنوان ژورنال: Communications in Partial Differential Equations
سال: 2014
ISSN: 0360-5302,1532-4133
DOI: 10.1080/03605302.2014.929145