  In this paper, we extend the Holmstro\"om and Milgrom problem [47] by adding
uncertainty about the volatility of the output for both the Agent and the
Principal. We study more precisely the impact of the "Nature" playing against
the Agent and the Principal by choosing the worst possible volatility of the
output. We solve the first--best and the second--best problems associated with
this framework and we show that optimal contracts are in a class of contracts
similar to [14, 15], linear with respect to the output and its quadratic
variation. We compare our results with the classical problem in [47].
