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.
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗