Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type. (25th July 2010)
- Record Type:
- Journal Article
- Title:
- Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type. (25th July 2010)
- Main Title:
- Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type
- Authors:
- Roch, Alexandre F.
- Other Names:
- Gao Junbin B. Academic Editor.
- Abstract:
- Abstract : 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.
- Is Part Of:
- Journal of probability and statistics. Volume 2010(2010)
- Journal:
- Journal of probability and statistics
- Issue:
- Volume 2010(2010)
- Issue Display:
- Volume 2010, Issue 2010 (2010)
- Year:
- 2010
- Volume:
- 2010
- Issue:
- 2010
- Issue Sort Value:
- 2010-2010-2010-0000
- Page Start:
- Page End:
- Publication Date:
- 2010-07-25
- Subjects:
- Probabilities -- Periodicals
Mathematical statistics -- Periodicals
Mathematical statistics
Probabilities
Periodicals
519 - Journal URLs:
- https://www.hindawi.com/journals/jps/ ↗
- DOI:
- 10.1155/2010/863585 ↗
- Languages:
- English
- ISSNs:
- 1687-952X
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 10363.xml