Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type.
Journal of Probability and Statistics (2010)
- Volume: 2010, page Article ID 863585, 18 p.-Article ID 863585, 18 p.
- ISSN: 1687-952X
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topRoch, Alexandre F.. "Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type.." Journal of Probability and Statistics 2010 (2010): Article ID 863585, 18 p.-Article ID 863585, 18 p.. <http://eudml.org/doc/231078>.
@article{Roch2010,
author = {Roch, Alexandre F.},
journal = {Journal of Probability and Statistics},
keywords = {viscosity solutions; stochastic volatility models; Lévy processes; Ornstein-Uhlenbeck-type process},
language = {eng},
pages = {Article ID 863585, 18 p.-Article ID 863585, 18 p.},
publisher = {Hindawi Publishing Corporation, New York},
title = {Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type.},
url = {http://eudml.org/doc/231078},
volume = {2010},
year = {2010},
}
TY - JOUR
AU - Roch, Alexandre F.
TI - Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type.
JO - Journal of Probability and Statistics
PY - 2010
PB - Hindawi Publishing Corporation, New York
VL - 2010
SP - Article ID 863585, 18 p.
EP - Article ID 863585, 18 p.
LA - eng
KW - viscosity solutions; stochastic volatility models; Lévy processes; Ornstein-Uhlenbeck-type process
UR - http://eudml.org/doc/231078
ER -
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