# Questions tagged [dividends]

A dividend is a payment made by a corporation to its shareholders, usually as a distribution of profits.

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### Deriving the stochastic process for a dividend-yielding stock (under Black-Scholes assumptions)

In order to derive the Black-Scholes equation for a stock $S(t)$ yielding dividends at the continuous rate $d$ $$S(t) = S_0 e^{(\mu - d - \frac{\sigma^2}{2})t + \sigma \sqrt{t} N(0,1)} \text{,}$$ M. ...
1 vote
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### Early exercise with multiple dividends

I am wondering how early exercise conditions work on multiple dividends. Say a stock pays 4 dividends in a year. We are 1 day before the first ex-div date and long an ITM Call and ITM put in an expiry ...
63 views

### Why do dividend yields converge to zero?

According to the dividend discount model, a stock price is the discounted value of its dividends, where one assumes the dividends grow annually by some rate $g$ and are discounted at $r$, the required ...
1 vote
453 views

### Calendar arbitrage in implied vol grid with discrete and proportional dividends

I have an implied vol discrete grid, obtained from market data. To obtain prices from these implied vols, a dividend model with discrete and proportional dividends is used. How can I verify if there ...
167 views

### How do I calculate the implied dividend yield and/or the forward rate for an equity ETF?

I am interested in building an implied volatility surface for a given ETF given a set of option prices for several combinations of (call/put,strike,expiry). I am interested in different ways to arrive ...
1 vote
184 views

1k views

### Term structure of Equity returns

What is the meaning of term structure of equity returns. I know what term structure of interest rates means, but somehow i cant seem to relate them. Also, how would we measure them? Also in this paper ...
1 vote
3k views

### MonteCarlo simulation of stock prices using milstein scheme with dividend yield?

While performing a montecarlo simulation of stock prices using the milstein scheme is it possible to take into account the dividend yield into the simulation itself somehow, if we are given a ...
1 vote
132 views

### Dividend Discount Model for a stock and its derivatives

This might be a bit basic but I've found this question and I'm definitely over-thinking it and now I've just completely confused myself. I'm just looking for some clarification. I've been given the ...
1 vote
81 views

### How much of historic S&P500 gains are from price appreciation vs. dividends?

Several sources suggest 70% or so of Stock Market (S&P 500) gains are from Dividend payments (according to several sources, below) But dividend payments average for the S&P 500 have been about ...
1 vote
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### Future price in continous time

I am in the following continuous time market: $S_t^0 = rS_t^0dt$ $S_t^1 = (\mu - \delta) S_t^1dt + \sigma S_t^1 dB_t$ where $r, \mu, \delta$ and $\sigma$ are constant values in $\mathbb{R}$. $\delta$...
1k views

### Put-Call Parity with dividends

In which book will I find the exact proof of put-call parity in the case when asset pays continuous dividend? I need a book to cite this result
2k views

### Free dividend data API for non-US stocks

Is there are any free API for dividend data that does also include non-US stocks? I know of this question from three years ago. However, the situation has changed since then apparently, as there are ...
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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 ...
1 vote
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)...