# Questions tagged [discrete-dividends]

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### Dupire Formula with Discrete Cash Dividend

For stocks when there is cash dividend, the Dupire formula should still hold according to Bergomi. In the book "Stochastic Volatility Modeling", he says: In the presence of cash-amount ...
80 views

### How to improve fit in American options vol surface?

I am trying to model the volatility surface of index etfs (spy, iwm and qqq). I am using the CRR model with discrete dividends and the spot model. I find that for some cases there is a noticeable ...
168 views

### What is the arbitrage opportunity and strategy here? [closed]

Suppose that the current stock price is $€100$, the exercise price is $€100$, the annually compounded interest rate is 5 percent, the stock pays a $€1$ dividend in the next instant, and the quoted ...
1 vote
844 views

### QuantLib Inaccurate - American Put Option with Discrete Dividends

I'm trying to use the QuantLib library to price American options that pay discrete dividends. The call options are priced with good accuracy (generally <0.1% error), however the same inputs for a ...
132 views

### Wealth process in the Black-Scholes model with discrete dividends

Good evening, The following problem is the sequel of a previous post I made here a few days ago. Consider the Black-Scholes model with discrete dividends in the interval $[0,T]$. This means that ...
1 vote
332 views

### Black-Scholes model with discrete dividend payments

Consider the Black-Scholes model with discrete dividends in the interval $[0,T]$. This means that there's a sequence of dates such that, $$0 < t_1 < \dots < t_k < \dots < t_n < T$$ ...
1 vote
459 views

### Extracting implied dividends from American options

I am using end of day options data and want to extract discrete dividend information contained in the option prices. I am doing this for ETFs like SPY where I know the dividend schedule. These are the ...
91 views

### Replication (binomial tree)

Hey what is the replication strategy on the binomial tree when I have for example 10 step model and dividend is paid at step 3? I have a well-written price tree but I do not know what the replication ...
1 vote
373 views

43 views

### is there a dependence between an annotation date of stocks dividend payment and the end fiscal year

I know that the fiscal year in USA from 1 October till 30 September. I'd like to know: is whether there a dependence between a declaration date and an end of fiscal year? I think this dependence ...
1 vote
1k views

### Calculate put price with Black-Scholes and one discrete dividend

I try to solve this exercise: a) Calclculate the price of a 3-month European put option on a non-dividend-paying stock with a strike price of 45 when the current stock price is 40, the risk-free ...
5k views

### Black-Scholes formula with deterministic discrete dividend (Musiela approach)

For deterministic discrete dividend, there are two approach Musiela approach, works when every dividend are paid at maturity of the option. Hull approach, works when every dividend are paid ...
513 views

### american option and cash dividends

Can someoe help with this : What is the precise arbitrage argument demonstrating that the price of an american option should be continuous around an ex-dividend date? Thanks