Comment on ``Option pricing under the Merton model of the short rate'' by Kung and Lee (Q609069): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
ReferenceBot (talk | contribs) Changed an Item |
||
(4 intermediate revisions by 3 users not shown) | |||
Property / author | |||
Property / author: Zhen-Yu Cui / rank | |||
Property / author | |||
Property / author: Donald L. McLeish / rank | |||
Property / author | |||
Property / author: Zhen-Yu Cui / rank | |||
Normal rank | |||
Property / author | |||
Property / author: Donald L. McLeish / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.matcom.2010.06.006 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2059647162 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Pricing derivatives with barriers in a stochastic interest rate environment / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4002114 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Option pricing under the Merton model of the short rate / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4905685 / rank | |||
Normal rank |
Latest revision as of 13:19, 3 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Comment on ``Option pricing under the Merton model of the short rate'' by Kung and Lee |
scientific article |
Statements
Comment on ``Option pricing under the Merton model of the short rate'' by Kung and Lee (English)
0 references
30 November 2010
0 references
stochastic interest rates
0 references
change of numeraire
0 references
call option price
0 references
Merton short rate model
0 references