Proportional Transaction Costs in the Robust Control Approach to Option Pricing: The Uniqueness Theorem
Journal Article
·
· Applied Mathematics and Optimization
- INRIA Sophia Antipolis-Méditerranée (France)
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.
- OSTI ID:
- 22469789
- Journal Information:
- Applied Mathematics and Optimization, Journal Name: Applied Mathematics and Optimization Journal Issue: 2 Vol. 72; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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