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A Robust Control Approach to Option Pricing: the Uniqueness Theorem

Pierre Bernhard 1 Naïma El Farouq 2 
1 COMORE - Modeling and control of renewable resources
LOV - Laboratoire d'océanographie de Villefranche, CRISAM - Inria Sophia Antipolis - Méditerranée
2 Modèles et Algorithmes de l'Aide à la Décision
LIMOS - Laboratoire d'Informatique, de Modélisation et d'optimisation des Systèmes
Abstract : We prove the missing uniqueness theorem which makes our probability-free theory of option pricing in the interval market model, essentially complete.
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Submitted on : Tuesday, July 23, 2013 - 11:22:22 AM
Last modification on : Friday, February 4, 2022 - 3:10:59 AM


  • HAL Id : hal-00847276, version 1


Pierre Bernhard, Naïma El Farouq. A Robust Control Approach to Option Pricing: the Uniqueness Theorem. EPSRC Symposium Workshop on game theory for finance, social and biological sciences, 2010, Warwick, United Kingdom. ⟨hal-00847276⟩



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