Exchange option in a two-state Poisson CAPM

Geonwoo Kim, Hyungsu Kim, Sungchul Lee

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

In this paper we derive the pricing formula for the exchange option value in a two-state Poisson CAPM. A two-state Poisson CAPM models the stochastic market environment. We also provide examples and graphs to illustrate our result.

Original languageEnglish
Pages (from-to)507-513
Number of pages7
JournalJournal of the Korean Statistical Society
Volume42
Issue number4
DOIs
Publication statusPublished - 2013 Dec

All Science Journal Classification (ASJC) codes

  • Statistics and Probability

Fingerprint Dive into the research topics of 'Exchange option in a two-state Poisson CAPM'. Together they form a unique fingerprint.

  • Cite this