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].
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].
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provide two examples
study more precisely the example of exponential utilities