Proportional Transaction Costs in the Robust Control Approach to Option Pricing: The Uniqueness Theorem
Résumé
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.
| Origine | Fichiers produits par l'(les) auteur(s) |
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