Mathematical Finance Seminar
Date
Time
16:15
Location
RUD 25; 1.115
Yan Dolinsky (Hebrew University of Jerusalem)

Utility indifference pricing with high risk aversion and small linear price impact

We consider the Bachelier model with linear price impact. Exponential utility indifference prices are studied for vanilla European options and we compute their non-trivial 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.