Questions tagged [discrete-dividends]
The discrete-dividends tag has no usage guidance.
22
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Difference in value - American call and a European call - stock pays a dividend
For a stock paying a single dividend prior to expiration, I would like to estimate the difference in value between an American call and a European call with the same expiration, strike and underlier.
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3
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1
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139
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Unable to correctly implement the pricing of an American call with multiple discrete dividends using the Clenshaw-Curtis quadrature
I'm not a quant, just an enthusiast. I am trying to implement in C++ the methodology published in the paper "Fast Quadrature Methods for Options with Discrete Dividends", by Thakoor and ...
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0
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280
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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 ...
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1
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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 ...
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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 ...
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141
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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 ...
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1
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0
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415
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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, $$0 < t_1 < \dots < t_k < \dots < t_n < T $$ ...
- 73
2
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0
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671
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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 ...
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114
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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 ...
- 443
1
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1
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465
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Discrete Dividend GBM process
I'm trying to derive the risk neutral process for a stock with both continuous and discrete dividends. In particular, suppose the forward level process at time, $t$ is given by $F(S_t, t, T) = e^{(r-y)...
- 503
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american option confusion
I've coded up a binomial tree version of the "Known Dollar Dividend" part of section 21.3 of Hull 10th Edition. I reproduce the answer in the book's example and also reproduce correctly a ...
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2
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Calculating the theoretically fair value of this futures contract by assuming monthly compounding
I need a help for the following question:
A stock index is constructed by including only two stocks in the index. One of the stocks (Stock $1$)
currently sells for $250$ dollar and the other stock (...
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0
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75
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Market model for european/american options on underlying paying discrete cash (and maybe proportional) dividends
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 ...
- 1,223
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70
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Value of portfolio with fixed discrete dividends
I know that this is a very simple question, but i want to make sure to grasp the concept of ex dividend and value of portfolio.
Suppose that we have a two period binomial tree of a stock with initial ...
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Issue Using QuantLib and Python to Calculate Price and Greeks for American Option With Discrete Dividends
I am having trouble using QuantLib with Python to calculate American options with discrete dividends. I am using Anaconda, Spyder, Python 3.6, and the most recent version of QuantLib. I created ...
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How to understand the compatibility between the discrete and continuous dividend payments
We know that a stock has discrete dividend payings $D_i$ at $t_i$, in the pricing of a forward, we will calculate the discount cash flows
$$\sum e^{-rt_i}D_i$$
then minus the sum of discount cash ...
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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 ...
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1
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1k
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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 ...
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2
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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 ...
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1
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529
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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
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1
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Implied dividend estimation
I am looking at two different ways of estimating the expected / implied dividends from market data.
1. Dividend futures
I know that this asset class is not very liquid and might not be ...
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1
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Multiple Discrete Dividends
Using the recombining tree model as described in Haug's Option Pricing Forumla one can factor in multiple future discrete dividends when calculating the option value and greeks.
What's unclear is ...
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