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Fen-Ying Chen
 
''A mathematical model for contingent claim pricing in a preannounced policy''
( 2009, Vol. 29 No.4 )
 
 
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.
 
 
Keywords: Preannounced policy, Preannouncement effect, Fat tails, Discontinuity, Option pricing.
 
Manuscript Received : Dec 01 2009 Manuscript Accepted : Dec 06 2009

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