Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type
2010 ◽
Vol 2010
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pp. 1-18
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Keyword(s):
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.
2019 ◽
Vol 89
(7)
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pp. 1322-1339
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2016 ◽
Vol 19
(02)
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pp. 1650014
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2019 ◽
Vol 38
(4)
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pp. 856-871
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2004 ◽
Vol 42
(1)
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pp. 141-153
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Keyword(s):
Keyword(s):
2008 ◽
Vol 40
(01)
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pp. 144-162
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