Option pricing under the Merton model of the short rate (Q1037800): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1016/j.matcom.2009.07.006 / rank
 
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Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
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Property / cites work: THE GARCH OPTION PRICING MODEL / rank
 
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Latest revision as of 04:06, 2 July 2024

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Option pricing under the Merton model of the short rate
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    Option pricing under the Merton model of the short rate (English)
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    16 November 2009
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    option pricing
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    Merton short rate model
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    Black-Scholes option model
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    pricing biases
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