Comment on “Option pricing under the Merton model of the short rate” by Kung and Lee [Math. Comput. Simul. 80 (2009) 378

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Comment on “Option pricing under the Merton model of the short rate” by Kung and Lee [Math. Comput. Simul. 80 (2009) 378–386]

Published:2010-09 Issue:1 Volume:81 Page:1-4
ISSN:0378-4754
Container-title:Mathematics and Computers in Simulation
language:en
Short-container-title:Mathematics and Computers in Simulation

Author:

Cui Zhenyu,Mcleish Don

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science

Reference4 articles.

1. Pricing derivatives with barriers in a stochastic interest rate environment;Bernard;J. Econ. Dyn. Control,2008

2. Browian Motion and Stochastic Calculus;Karatzas,1991

3. Option pricing under the Merton model of the short rate;Kung;Math. Comput. Simul.,2009

4. Theory of rational option pricing;Merton;Bell J. Econ. Manage. Sci.,1973

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2. DG method for numerical option pricing under the merton short rate model;THERMOPHYSICAL BASIS OF ENERGY TECHNOLOGIES (TBET 2020);2021

3. THE VALUATION OF EUROPEAN OPTION UNDER SUBDIFFUSIVE FRACTIONAL BROWNIAN MOTION OF THE SHORT RATE;International Journal of Theoretical and Applied Finance;2020-06

4. Review on the structural approach of the Black-Scholes model;AIP Conference Proceedings;2015

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