Option pricing under the Merton model of the short rate
- 31 October 2009
- journal article
- Published by Elsevier BV in Mathematics and Computers in Simulation
- Vol. 80 (2), 378-386
- https://doi.org/10.1016/j.matcom.2009.07.006
Abstract
No abstract availableKeywords
This publication has 25 references indexed in Scilit:
- A Closed-Form GARCH Option Valuation ModelThe Review of Financial Studies, 2000
- THE GARCH OPTION PRICING MODELMathematical Finance, 1995
- An Empirical Comparison of Alternative Models of the Short-Term Interest RateThe Journal of Finance, 1992
- The Pricing of Options on Assets with Stochastic VolatilitiesThe Journal of Finance, 1987
- Approximate option valuation for arbitrary stochastic processesJournal of Financial Economics, 1982
- Option pricing: A simplified approachJournal of Financial Economics, 1979
- The valuation of compound optionsJournal of Financial Economics, 1979
- The valuation of options for alternative stochastic processesJournal of Financial Economics, 1976
- Fact and Fantasy in the Use of OptionsCFA Magazine, 1975
- The Pricing of Options and Corporate LiabilitiesJournal of Political Economy, 1973