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

Alexandre F. Roch

Journal of Probability and Statistics, 2010, vol. 2010, 1-18

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.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:863585

DOI: 10.1155/2010/863585

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