Exchange option in a two-state Poisson CAPM
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Publication:395917
DOI10.1016/j.jkss.2013.03.001zbMath1294.91173OpenAlexW1975902861MaRDI QIDQ395917
Geonwoo Kim, Sungchul Lee, Hyungsu Kim
Publication date: 7 August 2014
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2013.03.001
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Related Items (3)
Numerical pricing of exchange option with stock liquidity under Bayesian statistical method ⋮ Closed-form pricing formula for exchange option with credit risk ⋮ Exchange options under clustered jump dynamics
Cites Work
- Option pricing under a stressed-beta model
- Exchange option pricing under stochastic volatility: a correlation expansion
- Exchange Options Under Jump-Diffusion Dynamics
- Time-Varying Betas Help in Asset Pricing: The Threshold CAPM
- Information and option pricings
- Changes of numéraire, changes of probability measure and option pricing
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