Option Pricing with Scheduled and Unscheduled News Flows.

In this paper, we develop alternative models to price derivative securities when the underlying asset may be subject to jumps. These models allow for two kinds of jumps: scheduled jumps which are caused by information for which the disclosure data is known in advance (e.g. earnings announcements) and unscheduled jumps which are caused by information for which neither the disclosure date nor the informational content is known in advance by market participants (e.g. mergers, new strategic decisions).