Can outstanding dividend payments be estimated by American options?

DOI10.1080/14697688.2017.1401226zbMath1491.91143OpenAlexW2600609232MaRDI QIDQ5026523

Sarah Grün, Ralf Korn, Sascha Desmettre

Publication date: 8 February 2022

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

Full work available at URL: https://doi.org/10.1080/14697688.2017.1401226

zbMATH Keywords

American optionsdividendsput-call inequality

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Dividend forecast biases in index option valuation
• Estimating discrete dividends by no-arbitrage

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