Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type
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نویسنده
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roch a.f.
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منبع
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journal of probability and statistics - 2010 - شماره : 0
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چکیده
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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. © 2010 alexandre f. roch.
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آدرس
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departement mathematik,eth zürich, Switzerland
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