Option pricing under the Merton model of the short rate (Q1037800): Difference between revisions
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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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 / OpenAlex ID: W2115909451 / rank | |||
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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| Property / cites work: Option pricing: A simplified approach / rank | |||
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| Property / cites work: THE GARCH OPTION PRICING MODEL / rank | |||
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| Property / cites work: Q4905685 / rank | |||
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| Property / cites work: Option pricing when underlying stock returns are discontinuous / rank | |||
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Latest revision as of 04:06, 2 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing under the Merton model of the short rate |
scientific article |
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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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