Short Communication: : Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact
Authors: 
Yan Dolinsky, Shir MosheAuthors Info & Claims
Yan Dolinsky, Shir MosheAuthors Info & ClaimsPages SC12 - SC25
Abstract
We consider the Bachelier model with linear price impact. Exponential utility indifference prices are studied for vanilla European options, and we compute their nontrivial scaling limit for a vanishing price impact which is inversely proportional to the risk aversion. Moreover, we find explicitly a family of portfolios which are asymptotically optimal.
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© 2022, Society for Industrial and Applied Mathematics.
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Society for Industrial and Applied Mathematics
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Published: 01 January 2022
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