文章基本信息

标题：A mathematical model for contingent claim pricing in a preannounced policy
本地全文：下载
作者：Fen-Ying Chen
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2009
卷号：29
期号：4
页码：A27
出版社：Economics Bulletin
摘要：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