Exchange option in a two-state Poisson CAPM

Geonwoo Kim; Hyungsu Kim; Sungchul Lee

doi:10.1016/j.jkss.2013.03.001

Exchange option in a two-state Poisson CAPM

Geonwoo Kim, Hyungsu Kim, Sungchul Lee

Department of Mathematics

Research output: Contribution to journal › Article › peer-review

4 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 language	English
Pages (from-to)	507-513
Number of pages	7
Journal	Journal of the Korean Statistical Society
Volume	42
Issue number	4
DOIs	https://doi.org/10.1016/j.jkss.2013.03.001
Publication status	Published - 2013 Dec

Bibliographical note

Funding 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

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10.1016/j.jkss.2013.03.001

Cite this

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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.",

author = "Geonwoo Kim and Hyungsu Kim and Sungchul Lee",

note = "Funding 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 ). ",

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PY - 2013/12

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Exchange option in a two-state Poisson CAPM

Abstract

Bibliographical note

All Science Journal Classification (ASJC) codes

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