Estimating discrete dividends by no-arbitrage

DOI10.1080/14697688.2016.1176239zbMath1402.91770OpenAlexW2396533072MaRDI QIDQ4555077

Sarah Grün, Frank Thomas Seifried, Sascha Desmettre

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1176239

zbMATH Keywords

put-call parityarbitragedividendsmarket-implied discount curve

Mathematics Subject Classification ID

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

Related Items (3)

Dividend derivatives ⋮ Dividend derivatives ⋮ Can outstanding dividend payments be estimated by American options?

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Dividend forecast biases in index option valuation
• Changes of numéraire, changes of probability measure and option pricing

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