TY - JOUR
T1 - Comment on "option pricing under the Merton model of the short rate" by Kung and Lee [Math. Comput. Simul. 80 (2009) 378-386]
AU - Cui, Zhenyu
AU - McLeish, Don
PY - 2010/9
Y1 - 2010/9
N2 - In this note, we correct the formula given in Ref. [3] for European call and put option under Merton's model of the short rate. We give a probabilistic derivation making use of the "change of numeraire" technique which is simpler and more standard.
AB - In this note, we correct the formula given in Ref. [3] for European call and put option under Merton's model of the short rate. We give a probabilistic derivation making use of the "change of numeraire" technique which is simpler and more standard.
KW - Call option price
KW - Change of numeraire
KW - Merton short rate model
KW - Stochastic interest rates
UR - http://www.scopus.com/inward/record.url?scp=77956263646&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=77956263646&partnerID=8YFLogxK
U2 - 10.1016/j.matcom.2010.06.006
DO - 10.1016/j.matcom.2010.06.006
M3 - Article
AN - SCOPUS:77956263646
SN - 0378-4754
VL - 81
SP - 1
EP - 4
JO - Mathematics and Computers in Simulation
JF - Mathematics and Computers in Simulation
IS - 1
ER -