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

School of Natural Sciences

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

4 Scopus citations

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
State	Published - Dec 2013

Keywords

CAPM
Exchange option
Stochastic market environment
Two-state Poisson model

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10.1016/j.jkss.2013.03.001

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title = "Exchange option in a two-state Poisson CAPM",

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.",

keywords = "CAPM, Exchange option, Stochastic market environment, Two-state Poisson model",

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

year = "2013",

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doi = "10.1016/j.jkss.2013.03.001",

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volume = "42",

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journal = "Journal of the Korean Statistical Society",

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T1 - Exchange option in a two-state Poisson CAPM

AU - Kim, Geonwoo

AU - Kim, Hyungsu

AU - Lee, Sungchul

PY - 2013/12

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N2 - 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.

AB - 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.

KW - CAPM

KW - Exchange option

KW - Stochastic market environment

KW - Two-state Poisson model

UR - https://www.scopus.com/pages/publications/84885872419

U2 - 10.1016/j.jkss.2013.03.001

DO - 10.1016/j.jkss.2013.03.001

M3 - Article

AN - SCOPUS:84885872419

SN - 1226-3192

VL - 42

SP - 507

EP - 513

JO - Journal of the Korean Statistical Society

JF - Journal of the Korean Statistical Society

IS - 4

ER -

Exchange option in a two-state Poisson CAPM

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Keywords

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