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.
Bibliographical noteFunding Information:
The authors would like to thank the referees for their thoughtful comments on an earlier version of the paper. Their valuable comments helped us to improve the presentation of the paper. This research was supported by Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education, Science and Technology ( 2010-0010919 ).
All Science Journal Classification (ASJC) codes
- Statistics and Probability