Cui, Zhenyu; Mcleish, Don - In: Mathematics and Computers in Simulation (MATCOM) 81 (2010) 1, pp. 1-4
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.