| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1144771 | Journal of the Korean Statistical Society | 2013 | 7 Pages |
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
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Geonwoo Kim, Hyungsu Kim, Sungchul Lee,