A mathematical model for contingent claim pricing in a preannounced policy

This paper presents a mathematical model for contingent claim pricing in a preannounced policy. There are some properties in the model. First, one can distinguish the preannouncement effects on the mean and volatility of asset returns. Second, the European call option pricing solution in the model can reduce to the Black-Sholes (1973) formula as no preannouncement effects occur before maturity.

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Year of publication:	2009
Authors:	Chen, Fen-Ying
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 29.2009, 4, p. 27-27
Publisher:	AccessEcon
Subject:	Preannounced policy \| Preannouncement effect \| Fat tails \| Discontinuity \| Option pricing

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	G0 - Financial Economics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008562919