An event option pricing model with scheduled and unscheduled announcement effects

Review of Quantitative Finance and Accounting

Volumn 8, Issue 2, 1997, Pages 151-162

  Abraham, Abraham ^a   Taylor, William M ^b  

^a KING FAHD UNIVERSITY OF PETROLEUM AND MINERALS   (Saudi Arabia)

^b RUTGERS BUSINESS SCHOOL   (United States)

Author keywords

Announcement effects; Jump diffusion models; Options; Scheduled events

Indexed keywords

EID: 45749133828     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1023/A:1008249800346     Document Type: Article

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