Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type (Q609727)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type |
scientific article |
Statements
Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type (English)
0 references
1 December 2010
0 references
This paper is devoted to the study the valuation of American-type derivatives in the stochastic volatility model of \textit{O. E. Barndorff-Nielsen} and \textit{N. Shephard} [J. R. Stat. Soc., Ser. B, Stat. Methodol. 63, No.~2, 167--241 (2001; Zbl 0983.60028)]. The authors 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.
0 references
viscosity solutions
0 references
stochastic volatility models
0 references
Lévy processes
0 references
Ornstein-Uhlenbeck-type process
0 references
0 references
0 references