Dividend forecast biases in index option valuation

DOI10.1023/A:1011335530815zbMath1274.91405OpenAlexW1577985936MaRDI QIDQ375338

Don Rich, Raman Kumar, Don M. Chance

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1011335530815

zbMATH Keywords

option pricingdividend forecastingindex options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Dividend derivatives ⋮ Estimating discrete dividends by no-arbitrage ⋮ DIVIDENDS AND UNCERTAINTY: EVIDENCE FROM THE ITALIAN MARKET ⋮ Dividend derivatives ⋮ Discrete dividends and the FTSE-100 index options valuation ⋮ Can outstanding dividend payments be estimated by American options?

This page was built for publication: Dividend forecast biases in index option valuation