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

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.
Authors:
 [1] ;  [2]
  1. Université Blaise Pascal (Clermont-Ferrand II) (France)
  2. INRIA Sophia Antipolis-Méditerranée (France)
Publication Date:
OSTI Identifier:
22469789
Resource Type:
Journal Article
Resource Relation:
Journal Name: Applied Mathematics and Optimization; Journal Volume: 72; Journal Issue: 2; Other Information: Copyright (c) 2015 Springer Science+Business Media New York; http://www.springer-ny.com; Country of input: International Atomic Energy Agency (IAEA)
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; COMPUTERIZED SIMULATION; CONTROL; MATHEMATICAL MODELS; MATHEMATICAL SOLUTIONS; VARIATIONAL METHODS; VISCOSITY