Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type (Q609727)

This paper is devoted to the study the valuation of American-type derivatives in the stochastic volatility model of \textit{O. E. Barndorff-Nielsen} and \textit{N. Shephard} [J. R. Stat. Soc., Ser. B, Stat. Methodol. 63, No.~2, 167--241 (2001; Zbl 0983.60028)]. 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.