Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type

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dc.creatorRoch, Alexandre F.
dc.date2008-12-12
dc.date.accessioned2026-07-07T12:12:29Z
dc.date.available2026-07-07T12:12:29Z
dc.descriptionIn this paper, 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.
dc.identifierhttps://arxiv.org/abs/0812.2444
dc.identifierhttp://arxiv.org/abs/0812.2444
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210557
dc.subjectComputational Finance
dc.subjectAnalysis of PDEs
dc.subject35D05; 60H30; 91B28
dc.titleViscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type
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