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Proportional Transaction Costs in the Robust Control Approach to Option Pricing: The Uniqueness Theorem
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.
Cited literature [11 references]
https://hal.inria.fr/hal-01090616
Contributor : Jean-Luc Gouzé Connect in order to contact the contributor
Submitted on : Wednesday, December 3, 2014 - 6:17:57 PM
Last modification on : Saturday, June 25, 2022 - 11:15:00 PM
Long-term archiving on: : Monday, March 9, 2015 - 5:52:50 AM
Contributor : Jean-Luc Gouzé Connect in order to contact the contributor
Submitted on : Wednesday, December 3, 2014 - 6:17:57 PM
Last modification on : Saturday, June 25, 2022 - 11:15:00 PM
Long-term archiving on: : Monday, March 9, 2015 - 5:52:50 AM
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ElFarouq-Bernhard-revision.pdf
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