Journal Title
Title of Journal: DEF
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Abbravation: Decisions in Economics and Finance
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Authors: B Bouchard Yu M Kabanov N Touzi
Publish Date: 2001/11/01
Volume: 24, Issue: 2, Pages: 127-136
Abstract
We consider a multiasset continuoustime model of a financial market with transaction costs and prove that for a strongly riskaverse investor the reservation price of a contingent claim approaches the superreplication price increased by the liquidation value of the initial endowment
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