Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type
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Publication:609727
DOI10.1155/2010/863585zbMath1211.91241arXiv0812.2444OpenAlexW2068457956WikidataQ58652725 ScholiaQ58652725MaRDI QIDQ609727
Publication date: 1 December 2010
Published in: Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0812.2444
Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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Cites Work
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