Exchange option in a two-state Poisson CAPM |
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| Authors: | Geonwoo Kim Hyungsu Kim Sungchul Lee |
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| Affiliation: | 1. Department of Mathematics, Yonsei University, Seoul 120-749, Republic of Korea;2. National Pension Research Institute, Republic of Korea |
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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. |
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| Keywords: | Exchange option Two-state Poisson model CAPM Stochastic market environment |
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