Comment on 'Option Pricing Under the Merton Model of the Short Rate'

@inproceedings{McLeish2009CommentO,
  title={Comment on 'Option Pricing Under the Merton Model of the Short Rate'},
  author={Don McLeish and Zhenyu Cui},
  year={2009}
}
This is a short comment on Kung and Lee's paper. In this note, we show that the formulae given in Kung and Lee (2009) for European call and put option under Merton's model of the short rate are incorrect. We give the correct derivations making use of the "change of numeraire" technique which is simpler and more standard. 

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