Comment on ``Option pricing under the Merton model of the short rate by Kung and Lee
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Publication:609069
DOI10.1016/j.matcom.2010.06.006zbMath1200.91289MaRDI QIDQ609069
Donald L. McLeish, Zhen-Yu Cui
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
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
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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
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