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Conference Papers Year : 2010

A Robust Control Approach to Option Pricing: the Uniqueness Theorem

Abstract

We prove the missing uniqueness theorem which makes our probability-free theory of option pricing in the interval market model, essentially complete.
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Dates and versions

hal-00847276 , version 1 (23-07-2013)

Identifiers

  • HAL Id : hal-00847276 , version 1

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Pierre Bernhard, Naïma El Farouq. A Robust Control Approach to Option Pricing: the Uniqueness Theorem. EPSRC Symposium Workshop on game theory for finance, social and biological sciences, 2010, Warwick, United Kingdom. ⟨hal-00847276⟩
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