A note on utility-based pricing in models with transaction costs
نویسندگان
چکیده
In this paper, we consider the utility indifference pricing and utility-based pricing in the market with transaction costs. The utility maximization problem including contingent claims in the market with transaction costs has been considered by Bouchard(2002)[3]. Following his results, we consider the market equilibrium of contingent claims. In order to do this, specifying the utility function as exponential utility, we deduce the equilibrium in the market with transaction costs. Unlike Davis and Yoshikawa(2010)[7], we have to assume a strong assumption to deduce zero trade equilibrium in a market with transaction costs. It implies that transaction costs can generate a non-zero trade equilibrium under weak assumption.
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