%0 Journal Article
%T Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type
%A Alexandre F. Roch
%J Mathematics
%D 2008
%I arXiv
%X In this paper, 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.
%U http://arxiv.org/abs/0812.2444v1