Comment on ``Option pricing under the Merton model of the short rate by Kung and Lee

DOI10.1016/j.matcom.2010.06.006zbMath1200.91289OpenAlexW2059647162MaRDI QIDQ609069

Donald L. McLeish, Zhen-Yu Cui

Publication date: 30 November 2010

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2010.06.006

zbMATH Keywords

change of numerairestochastic interest ratescall option priceMerton short rate model

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Option pricing under the Merton model of the short rate in subdiffusive Brownian motion regime ⋮ THE VALUATION OF EUROPEAN OPTION UNDER SUBDIFFUSIVE FRACTIONAL BROWNIAN MOTION OF THE SHORT RATE

Cites Work

• Pricing derivatives with barriers in a stochastic interest rate environment
• Option pricing under the Merton model of the short rate
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