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You could compute index dividend yield from ATM options using linearized put-call parity (assuming index options are European.) The present value of the dividend payment is: $PV(div) = P - C + (S - K) + K(e^{rT} - 1)$ where $r$ is interest rate to the option expiration and $T$ is time to maturity in years. Then the implied dividend is: $d = ... 3 You get nothing, by this logic you could accumulate risk-free money all day by buying/selling on the ex-date as long as the dividend is larger than the spread. 2 In real life, you imply the unknown dividend yields from the forwards and the discount curve. 2 As a first Idea I would propose to incorporate basic ideas of Behavioural Finance and Dividend Theory into your considerations; for reference, look at: Baker, Malcolm, and Jeffrey Wurgler. Behavioral corporate finance: An updated survey. No. w17333. National Bureau of Economic Research, 2011. They state that investors prefer rather smooth dividend ... 2 If you are not able to find a data set, containing the dividend yield information for all the companies listed in ASX20/50/100/200/300, the only way is for you to make it by researching the companies. However I found this dividend yield scan to get you started. Once you have the dividend yield rate for all the stocks in the given index, it is just a matter ... 1 I am assuming that you are interested in how the returns behave around dividend payment dates, since the adjustment process for Yahoo is covered in their help section. The drop has been found to be aprox. the amount of the dividend yield. More recently it appears, that in the run-up to the dividend date some premium may be earned. 1 For European options you can utilise put-call parity and reverse out the implied dividend yield. I.e. F(T,K) = C(T,K) - P(T,K) and obviously F(T) = S(t)*e^[(r-d)*(T-t)] Interestingly, you get mostly OK results for American ATM options also. Cf. Avellaneda's comments on this in one of his lecture's, page 18, ... 1 You are assuming that the Dividend stated in your figures represents how much dividend you will be receiving in a month. However, you need to know exactly what that field represents. It could be one of the following: Annualised dividend (most recent dividend multiplied by frequency... eg. quarterly dividend multipled by 4) Annualised declared dividend ... 1 my easy solution to this is to take a zero strike call option on the stock which I call a delivery contract for time$T.$. This is easy to price and is worth$e^{q(T-t)} S_t.$An option on the delivery contract with expiry$T$has the same value as an option on$S_t$since they agree at$T.$The delivery contract is non-dividend paying and follows a GBM so ... 1 When the underlying asset is a stock making this special dividend to its shareholders, it will influence the option. Special dividends is not that common, but usually happens in companies with extraordinarily success or under liquidation / sale of a division / splitting up. Look at Special Dividend on Wikipedia. 1 The line of thinking is theoretically correct and it is right if you assume that: no other event happened during the trading day or in recent periods (if, for instance, one has a stock split recently, you will take into account also that and so on for all corporate events); The dividend is a cash-dividend (in the case you will have a stock-dividend things ... 1 It is straightforward to include dividends into the model if it can be assumed that the dividend payment is a continuous dividend yield,$q$. Under$Q$measure , In the Black-Scholes Model, Heston Model and etc,$r$is replaced by$r − q\$., Here, We are going to simulate underlying asset in the Black-Scholes model by Milstein Method.Indeed, we assume ...