Option pricing under the Merton model of the short rate

DOI10.1016/j.matcom.2009.07.006zbMath1180.91290OpenAlexW2115909451MaRDI QIDQ1037800

Lung-Sheng Lee, James J. Kung

Publication date: 16 November 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2009.07.006

zbMATH Keywords

option pricingMerton short rate modelBlack-Scholes option modelpricing biases

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Comment on ``Option pricing under the Merton model of the short rate by Kung and Lee ⋮ Option pricing under the Merton model of the short rate in subdiffusive Brownian motion regime ⋮ THE VALUATION OF EUROPEAN OPTION UNDER SUBDIFFUSIVE FRACTIONAL BROWNIAN MOTION OF THE SHORT RATE ⋮ The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate ⋮ Pricing of European call option under fuzzy interest rate

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• THE GARCH OPTION PRICING MODEL
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach

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