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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]
Cui, Zhenyu
;
Mcleish, Don
- In:
Mathematics and Computers in Simulation (MATCOM)
81
(
2010
)
1
,
pp. 1-4
short rate. We give a probabilistic derivation making use of the “
change
of
numeraire
” technique which is simpler and more …
Persistent link: https://www.econbiz.de/10011050971
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