| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1140143 | Mathematics and Computers in Simulation | 2010 | 4 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
![Comment on “Option pricing under the Merton model of the short rate” by Kung and Lee [Math. Comput. Simul. 80 (2009) 378–386]](/preview/png/1140143.png "First Page Preview: Comment on “Option pricing under the Merton model of the short rate” by Kung and Lee [Math. Comput. Simul. 80 (2009) 378–386]")
Authors
Zhenyu Cui, Don Mcleish,