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摘要翻译：
我们利用效用无关性论证对或有索取权负债进行定价。我们考虑一个具有指数效用的代理人，在存在正比例交易费用的情况下，在有或有索偿责任和无或有索偿责任的两种情况下，他投资于一个股票和一个货币市场账户，目标是在最后时刻T使他的投资效用最大化。利用Whalley&Wilmott中启发式论证的计算，我们在零交易费用的情况下，在有或有索偿责任和无或有索偿责任的情况下，给出了交易费用参数的价值函数在已知价值函数周围的渐近展开式的严格推导。另外，利用效用无差异方法，我们得到了未定索取权债务价格的渐近展开式。在这两种情况下，我们还得到了一个“近最优”策略，其期望效用与价值函数的先导项渐近匹配。
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英文标题：
《Pricing a Contingent Claim Liability with Transaction Costs Using
Asymptotic Analysis for Optimal Investment》
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作者：
Maxim Bichuch
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
We price a contingent claim liability using the utility indifference argument. We consider an agent with exponential utility, who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the final time T in the presence of positive proportional transaction cost in two cases with and without a contingent claim liability. Using the computations from the heuristic argument in Whalley & Wilmott we provide a rigorous derivation of the asymptotic expansion of the value function in powers of the transaction cost parameter around the known value function for the case of zero transaction cost in both cases with and without a contingent claim liability. Additionally, using utility indifference method we derive an asymptotic expansion of the price of the contingent claim liability. In both cases, we also obtain a "nearly optimal" strategy, whose expected utility asymptotically matches the leading terms of the value function.
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PDF链接：
https://arxiv.org/pdf/1112.3012
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