Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type
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...
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| Format: | Article |
| Language: | English |
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Wiley
2010-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2010/863585 |
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| author | Alexandre F. Roch |
| author_facet | Alexandre F. Roch |
| author_sort | Alexandre F. Roch |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-c6f36a8134004e97a5cc8652b9188793 |
| institution | Kabale University |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2010-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-c6f36a8134004e97a5cc8652b91887932025-02-03T01:28:48ZengWileyJournal of Probability and Statistics1687-952X1687-95382010-01-01201010.1155/2010/863585863585Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck TypeAlexandre F. Roch0Departement Mathematik, ETH Zürich, 8092 Zürich, SwitzerlandWe 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.http://dx.doi.org/10.1155/2010/863585 |
| spellingShingle | Alexandre F. Roch Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type Journal of Probability and Statistics |
| title | Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type |
| title_full | Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type |
| title_fullStr | Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type |
| title_full_unstemmed | Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type |
| title_short | Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type |
| title_sort | viscosity solutions and american option pricing in a stochastic volatility model of the ornstein uhlenbeck type |
| url | http://dx.doi.org/10.1155/2010/863585 |
| work_keys_str_mv | AT alexandrefroch viscositysolutionsandamericanoptionpricinginastochasticvolatilitymodeloftheornsteinuhlenbecktype |