Black Scholes is the market model for european and american options on an underlying paying no dividends. What is the standard market model for european or american options of underlyings paying discrete cash (and also proportional) dividends ? It is the piecewise Black-Scholes model ? (Black-Scholes model between dividend dates at which the underlying is readujsted by the dividend.)

  • $\begingroup$ That's why I put proportional in parenthesis, having never seen data (in bb though) about forecasted divs with anything else than cash divs. By market model I mean the one the market uses to quote the options. Are you saying that BS with escrowed divs is the more common market model in the previous sense ? $\endgroup$
    – Olorin
    Dec 13 '19 at 21:46
  • $\begingroup$ Ah ok sorry, piecewise BS was a custom naming, yes. $\endgroup$
    – Olorin
    Dec 14 '19 at 7:59
  • $\begingroup$ I'll delete my comment so it does not clutter up your question. $\endgroup$
    – Alex C
    Dec 15 '19 at 22:08

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