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

DOI10.1016/J.MATCOM.2010.06.006MaRDI QIDQ609069zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• 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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