Exchange option in a two-state Poisson CAPM

Geonwoo Kim, Hyungsu Kim, Sungchul Lee

Research output: Contribution to journalArticle

2 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 1

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All Science Journal Classification (ASJC) codes

  • Statistics and Probability

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