Comment on ``Option pricing under the Merton model of the short rate'' by Kung and Lee (Q609069): Difference between revisions
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| Property / author: Zhen-Yu Cui / rank | |||
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| Property / author: Donald L. McLeish / rank | |||
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| Property / author: Zhen-Yu Cui / rank | |||
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| Property / author | |||
| Property / author: Donald L. McLeish / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.matcom.2010.06.006 / rank | |||
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| Property / OpenAlex ID: W2059647162 / rank | |||
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| Property / cites work: Pricing derivatives with barriers in a stochastic interest rate environment / rank | |||
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| Property / cites work: Q4002114 / rank | |||
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| Property / cites work: Option pricing under the Merton model of the short rate / rank | |||
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| Property / cites work: Q4905685 / rank | |||
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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)
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30 November 2010
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stochastic interest rates
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change of numeraire
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call option price
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Merton short rate model
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