Exchange option in a two-state Poisson CAPM
type: Item
instance of: scholarly article
title: Exchange option in a two-state Poisson CAPM
zbMATH Open document ID: 1294.91173
author: Geonwoo Kim
author: Hyungsu Kim
author: Sungchul Lee
published in: Journal of the Korean Statistical Society
publication date: 2014-08-07T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60K30
Mathematics Subject Classification ID: 91B25
zbMATH DE Number: 6327715
zbMATH Keywords: exchange option
zbMATH Keywords: two-state Poisson model
zbMATH Keywords: CAPM
zbMATH Keywords: stochastic market environment
MaRDI profile type: Publication
full work available at URL: j.jkss.2013.03.001
OpenAlex ID: W1975902861
cites work: Time-Varying Betas Help in Asset Pricing: The Threshold CAPM
cites work: Exchange option pricing under stochastic volatility: a correlation expansion
cites work: Exchange Options Under Jump-Diffusion Dynamics
cites work: Option pricing under a stressed-beta model
cites work: Changes of numéraire, changes of probability measure and option pricing
cites work: Information and option pricings
DOI: 10.1016/J.JKSS.2013.03.001
description: scientific article; zbMATH DE number 6327715