Comment on ``Option pricing under the Merton model of the short rate by Kung and Lee

DOI10.1016/J.MATCOM.2010.06.006zbMATH Open1200.91289OpenAlexW2059647162MaRDI QIDQ609069FDOQ609069

Authors: Zhenyu Cui, Donald L. McLeish 

Publication date: 30 November 2010

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

Full work available at URL: https://doi.org/10.1016/j.matcom.2010.06.006

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zbMATH Keywords

stochastic interest rateschange of numerairecall option priceMerton short rate model

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Option pricing under the Merton model of the short rate
• Pricing derivatives with barriers in a stochastic interest rate environment

Cited In (3)

• 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
• Option pricing under the Merton model of the short rate

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