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

Proportional Transaction Costs in the Robust Control Approach to Option Pricing: The Uniqueness... 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

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

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Publisher
Springer US
Copyright
Copyright © 2015 by Springer Science+Business Media New York
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-014-9276-y
Publisher site
See Article on Publisher Site

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.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Oct 1, 2015

References

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