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Proportional Transaction Costs in the Robust Control Approach to Option Pricing: The Uniqueness Theorem

Naïma El Farouq 1 Pierre Bernhard 2
2 BIOCORE - Biological control of artificial ecosystems
LOV - Laboratoire d'océanographie de Villefranche, CRISAM - Inria Sophia Antipolis - Méditerranée , INRA - Institut National de la Recherche Agronomique
Abstract : We prove the missing uniqueness theorem for the viscosity solution of a quasi-variational inequality related to a minimax impulse control problem modeling the option pricing with proportional transactions costs. This result makes our robust control approach of option pricing in the interval market model essentially complete.
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Naïma El Farouq, Pierre Bernhard. Proportional Transaction Costs in the Robust Control Approach to Option Pricing: The Uniqueness Theorem. Applied Mathematics and Optimization, Springer Verlag (Germany), 2015, 72 (2), pp.187-202. ⟨10.1007/s00245-014-9276-y⟩. ⟨hal-01090616⟩

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