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

Naïma El Farouq and Pierre Bernhard
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Naïma El Farouq: LIMOS - Laboratoire d'Informatique, de Modélisation et d'optimisation des Systèmes - UBP - Université Blaise Pascal - Clermont-Ferrand 2 - UdA - Université d'Auvergne - Clermont-Ferrand I - SIGMA Clermont - SIGMA Clermont - ENSM ST-ETIENNE - Ecole Nationale Supérieure des Mines de St Etienne - CNRS - Centre National de la Recherche Scientifique
Pierre Bernhard: BIOCORE - Biological control of artificial ecosystems - LOV - Laboratoire d'océanographie de Villefranche - OOVM - Observatoire océanologique de Villefranche-sur-mer - UPMC - Université Pierre et Marie Curie - Paris 6 - INSU - CNRS - Institut national des sciences de l'Univers - CNRS - Centre National de la Recherche Scientifique - UPMC - Université Pierre et Marie Curie - Paris 6 - INSU - CNRS - Institut national des sciences de l'Univers - CNRS - Centre National de la Recherche Scientifique - CRISAM - Inria Sophia Antipolis - Méditerranée - Inria - Institut National de Recherche en Informatique et en Automatique - INRA - Institut National de la Recherche Agronomique

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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.

Keywords: viscosity solutions; robust control; Option pricing (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-ger
Note: View the original document on HAL open archive server: https://inria.hal.science/hal-01090616v1
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Published in Applied Mathematics and Optimization, 2015, 72 (2), pp.187-202. ⟨10.1007/s00245-014-9276-y⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01090616

DOI: 10.1007/s00245-014-9276-y

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