Exchange option in a two-state Poisson CAPM

Geonwoo Kim, Hyungsu Kim, Sungchul Lee

Research output: Contribution to journalArticle

1 Citation (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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Capital Asset Pricing Model
Siméon Denis Poisson
Pricing
Graph in graph theory
Model
Market

All Science Journal Classification (ASJC) codes

  • Statistics and Probability

Cite this

Kim, Geonwoo ; Kim, Hyungsu ; Lee, Sungchul. / Exchange option in a two-state Poisson CAPM. In: Journal of the Korean Statistical Society. 2013 ; Vol. 42, No. 4. pp. 507-513.
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Exchange option in a two-state Poisson CAPM. / Kim, Geonwoo; Kim, Hyungsu; Lee, Sungchul.

In: Journal of the Korean Statistical Society, Vol. 42, No. 4, 01.12.2013, p. 507-513.

Research output: Contribution to journalArticle

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