Option pricing under the Merton model of the short rate in subdiffusive Brownian motion regime (Q5106795)
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scientific article; zbMATH DE number 7191953
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing under the Merton model of the short rate in subdiffusive Brownian motion regime |
scientific article; zbMATH DE number 7191953 |
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Option pricing under the Merton model of the short rate in subdiffusive Brownian motion regime (English)
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22 April 2020
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option pricing
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subdiffusive process
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Merton short rate model
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implied volatility
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