Title of article
Comment on “Option pricing under the Merton model of the short rate” by Kung and Lee [Math. Comput. Simul. 80 (2009) 378–386] Original Research Article
Author/Authors
Zhenyu Cui، نويسنده , , Don Mcleish، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2010
Pages
4
From page
1
To page
4
Abstract
In this note, we correct the formula given in Ref. for European call and put option under Mertonʹs model of the short rate. We give a probabilistic derivation making use of the “change of numeraire” technique which is simpler and more standard.
Keywords
Stochastic interest rates , Change of numeraire , Call option price , Merton short rate model
Journal title
Mathematics and Computers in Simulation
Serial Year
2010
Journal title
Mathematics and Computers in Simulation
Record number
854991
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