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.
https://hal.inria.fr/hal-01090616
Contributeur : Jean-Luc Gouzé
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Soumis le : mercredi 3 décembre 2014 - 18:17:57
Dernière modification le : mercredi 19 septembre 2018 - 01:27:41
Document(s) archivé(s) le : lundi 9 mars 2015 - 05:52:50
Naïma El Farouq, Pierre Bernhard. Proportional Transaction Costs in the Robust Control Approach to Option Pricing: The Uniqueness Theorem. Applied Mathematics and Optimization, 2015, 72 (2), pp.187-202. 〈10.1007/s00245-014-9276-y〉. 〈hal-01090616〉
