Comment on ``Option pricing under the Merton model of the short rate'' by Kung and Lee (Q609069): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 01:45, 5 March 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