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.2010.06.006zbMath1200.91289OpenAlexW2059647162MaRDI 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
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
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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