A mathematical model for contingent claim pricing in a preannounced policy

Article OPEN
Fen-Ying Chen;
(2009)
  • Journal: Economics Bulletin,volume 29,issue 4,pages27-27
  • Subject: Preannounced policy, Preannouncement effect, Fat tails, Discontinuity, Option pricing.
    • jel: jel:G0

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 p... View more
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