HIGHLIGHTS
- who: Ornstein-Uhlenbeck, Type and Alexandre F., Roch from the Departement Mathematik, ETH Zuu0308rich, Zuu0308rich, Switzerland have published the Article: Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type, in the Journal: (JOURNAL) of 14/06/2010
- what: 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. In this model, the volatility of the asset is described by an Ornstein-Uhlenbeck-type process with a pure jump Lu00e9vy process acting . . .
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