Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type
Author
Source
Journal of Probability and Statistics
Issue
Vol. 2010, Issue 2010 (31 Dec. 2010), pp.1-18, 18 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-08-24
Country of Publication
Egypt
No. of Pages
18
Main Subjects
Abstract EN
We study the valuation of American-type derivatives in the stochastic volatility model of Barndorff-Nielsen and Shephard (2001).
We characterize the value of such derivatives as the unique viscosity solution of an integral-partial differential equation when the payoff function satisfies a Lipschitz condition.
American Psychological Association (APA)
Roch, Alexandre F.. 2010. Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type. Journal of Probability and Statistics،Vol. 2010, no. 2010, pp.1-18.
https://search.emarefa.net/detail/BIM-504398
Modern Language Association (MLA)
Roch, Alexandre F.. Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type. Journal of Probability and Statistics No. 2010 (2010), pp.1-18.
https://search.emarefa.net/detail/BIM-504398
American Medical Association (AMA)
Roch, Alexandre F.. Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type. Journal of Probability and Statistics. 2010. Vol. 2010, no. 2010, pp.1-18.
https://search.emarefa.net/detail/BIM-504398
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-504398
