Proportional transaction costs in the robust control approach to option pricing: the uniqueness theorem (Q887158)
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scientific article; zbMATH DE number 6499492
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Proportional transaction costs in the robust control approach to option pricing: the uniqueness theorem |
scientific article; zbMATH DE number 6499492 |
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Proportional transaction costs in the robust control approach to option pricing: the uniqueness theorem (English)
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28 October 2015
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quasi-variational inequality
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viscosity solution
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uniqueness
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robust control
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minimax impulse control problem
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option pricing
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