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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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1 answer
554 views

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
0 answers
38 views

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 ...
0 votes
1 answer
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
2 answers
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 ...
0 votes
0 answers
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
1 answer
184 views

Prove from Black-Scholes that value of a European call option on an asset that pays continuous dividends less than a call without dividends

Black-Scholes gives us the following formulae for the prices of European calls on an underlying that does or doesn't pay continuous constant dividends (of proportion $D$): $$C^E_D(S_t,t,K,T)=e^{-D(T-t)...
2 votes
0 answers
162 views

Rigorous formula for adjusted close price

I'm a mathematician who is new to the stock market, and I'm hoping to shine a rigorous light on a simple example of adjusting close prices for, say, dividends. Let time $t$ represent today. Say that ...
0 votes
0 answers
33 views

Calculation of daily dividends from total return index data

I have a question regarding the inclusion of dividend payments in total return indices, but I have no background in finance, so I'm hoping someone here can help me out - any help is highly appreciated!...
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0 answers
17 views

Looking for stock splits and dividend history [duplicate]

Looking for stock splits and dividend history, every symbol for the last three years.
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0 answers
89 views

Cash Dividend implies skewed (negative) vol smile?

Say we have a stock $S_t$ which pays a cash dividend at $T_D$ of amount $div$. Let us assume rates $r=0$, for simplicity. Then the forward is $F_{T_D} = S_0 - div$, and we can compute the continuous ...
2 votes
0 answers
72 views

Reinvesting the dividends of a dividend paying stock

Suppose we have a dividend paying stock that has the following dynamics: $$dS_t=S_t((\mu-q)dt+\sigma dW_t)$$ With a continuous dividend yield $q$. What is the portfolio $Y_t$ that results out of ...
0 votes
0 answers
27 views

Do Dividend Stocks Offer Better Resilience During Market P/E Contraction?

I'm interested in how stocks with higher dividend yields perform during periods of market P/E contraction. Specifically, I've observed that (so far I am working on the models): Market-wide P/E ...
0 votes
0 answers
47 views

Interpreting dividends data from Yahoo Finance

I'm creating a very simple program that calculates the money generated from SPY dividends in a particular period of time. I was able to find the historical data in Yahoo Finance (https://finance.yahoo....
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0 answers
44 views

Precision issue of dividend adjustment

I'm having an issue with calculation of dividend adjusted prices as I have some mismatches with adjusted prices on other data sources. For example, here is a day when dividend ex_date of IBM happened: ...
0 votes
0 answers
43 views

Pricing non-vanilla options on EuroStoxx50 dividend futures

Liquid vanilla EuroStoxx50 dividend futures options quoted on Eurex are calls or puts whose expiries are the same as the expiry of the underlying futures contract. Is there any "simple" ...
0 votes
2 answers
171 views

how to calculate YTD return including the paid dividends

I am looking for a way to compute YTD return and I found this question (calculate YTD return / find first available datapoint of a year in python), however, it seems that it does not include the paid ...
6 votes
1 answer
111 views

How to price lookback american option when its payment is distributed during its life

I would like to price a floating strike american lookback with a particular feature: I don't want to charge upfront the client, rather I would like to insert a "running fee", some sort of a dividend. ...
5 votes
1 answer
249 views

Why do we use the letter $q$ for dividends?

In derivative pricing models, we often use the letter $q$ to designate the dividend yield i.e.: $$\textrm{d}S_t=S_t((\mu-q) \textrm{d}t+\sigma\textrm{d}W_t)$$ for the price process $S$ of the stock. ...
1 vote
2 answers
128 views

Why do we need an ex-dividend date? [closed]

Why do we need an ex-dividend date? What is the problem with the ex-dividend date being the same as the payment date? Why are they separate? What problem does having a separate ex-dividend date solve? ...
0 votes
2 answers
124 views

Modeling the price of a stock based upon its dividend history

The value of a stock is the present value of all future dividends. This is sometimes called the Gordon Growth model. This model assumes that dividends increase at a constant rate. In the real world ...
2 votes
0 answers
68 views

Spot/div correlation for autocalls

I cannot find much litterature on the effect of the spot/div correlation or the shape of the spot/div cross gamma concerning the autocallable structures. In a general way, could someone present an ...
1 vote
1 answer
275 views

Upcoming dividends

The yahoo finance package (yfinance) in python is very nice, and for example: msft = yf.ticker('MSFT') msft.dividends Will give ...
2 votes
1 answer
572 views

Forward on a stock with Dividends

I have seen the question here and have gone through the answer, but I still don't fully understand why the approach below, based on no-arbitrage, yields a different answer. To summarize: At time $t_0$...
-2 votes
2 answers
1k views

Where can I download a list of all stocks traded on NYSE, AMEX, NASDAQ that includes dividend and dividend yield information [duplicate]

Looking for a site I can download common stock information that includes dividend information as well as price. I see reference to NASDAQ stock screener but I don't see that information there.
2 votes
1 answer
205 views

How should I decide the yield rate when calculate the spx implied volatility?

I am wondering how the industry decides the yield rate for a certain maturity when calculating the implied volatility for the SPX option. Is it just a simple linear interpolation from the two near ...
2 votes
0 answers
341 views

Are there any APIs to retrieve stock buybacks and dividends to calculate ERP?

I'm in the process of building a Python library to value stocks using a FCF model and one of the first steps is calculating an implied equity premium. I know there a few ways of doing this, but ...
3 votes
1 answer
102 views

Dividend and Gain process in paper by Brigo, Buescu, Pallavicini and Liu

In the paper Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting (2012) (link) from Brigo, Buescu, Pallavicini and Liu, the above ...
18 votes
2 answers
1k views

Stochastic modelling of derivatives on dividends

I consider pricing and risk analysis of derivatives on dividends of the members of equity indices (such as Dow Jones EuroStoxx). There are options but I focus on futures. What are common stochastic ...
5 votes
0 answers
634 views

CRSP: Return including dividends

Using CRSP data, I tried to compute the historical returns (including dividends) of stocks according to Total Return = (adjprc + (divamt / cumfacpr / facpr)) / prev_adjprc – 1, where divamt is the ...
1 vote
0 answers
36 views

From the perspective of a company, when is the right time to start paying dividends?

I am trying to understand geometric Brownian motion as it relates to the present discounted value of future dividend payments. I am supposing that a company has a revenue stream $f(t)$. This is just $...
3 votes
2 answers
1k views

The Dog That Did Not Bark?

I've been reading Cochrane's 2006 paper "The Dog that did not bark: A Defense of Return Predictability", but i am still struggling to understand what the dog was, and why it wasn't barking? If anyone ...
0 votes
1 answer
540 views

GBM - How to make make annualized dividend reflected in one quarter

I want to simulate the price path of a stock for one quarter using geometric Brownian motion. The stock has a continuous dividend yield of 5% based on the annual dividend yield. However, historically ...
0 votes
1 answer
595 views

Multi-stage dividend discount model using financial calculator

Instead of the wrote formula approach, this analyst shows that such problems can be decomposed into their cash flows at different points in time, which enables us to use ...
3 votes
2 answers
2k views

How to derive forward price on stock with continuous dividend

Let $F_{t,T}$ be the forward price of a stock $S$ at time $T$ and $t$ be the current time. The stock pays a proportional continuous dividend at a rate of $q$ and the risk-free rate is $r$. How can I ...
3 votes
0 answers
281 views

Impact of Discrete and linear dividends on Local Volatility model

I am trying to understand the assumptions and weaknesses of a Dupire Local Volatility model. If dividends are assumed linear, is it a problem for model calibration? If yes, why? Why would large values ...
0 votes
1 answer
116 views

How soon after purchasing a stock are you eligible to collect dividends? [closed]

If comapny x announces dividends will be paid out tomorrow, can I buy 1000 shares today, collect my dividend on the shares, and then sell? Or do you have to hold the stock for a period of time before ...
3 votes
2 answers
527 views

A question about exercise from "Paul Wilmott introduces Quantitative Finance"

I am new on this forum and i have just begun my adventure with finances, so please be patient. I was solving exercises from "Paul Wilmot introduces Quantitative Finance" and i came across ...
0 votes
3 answers
578 views

Asset Pricing and Negative Prices

I am running an asset pricing study. The data is from 1990 to 2020. When the data is adjusted for dividends and splits, stock prices of several firms become negative. How does one handle negative ...
1 vote
0 answers
42 views

Publicly traded instrument analogous to a bond with discount rate equal to a stock dividend rate

Suppose we have a stock paying a stochastic dividend at rate $q$ in a zero interest rate environment. Is there a publicly traded (non-over-the-counter, meaning not specially designed for an entity) ...
1 vote
0 answers
42 views

Why is dividend discounted stock equal to cash discounted strike?

Doing some BS problem solving and came across this beauty: $$S \cdot \text{exp}\Big(-D(T-t)\Big) \text{exp}\bigg(-\frac{d_{1}^{2}}{2}\bigg) = E \cdot \text{exp}\Big(-r(T-t)\Big) \text{exp}\bigg(-\frac{...
9 votes
2 answers
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
2 answers
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
1 answer
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
0 answers
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
0 answers
74 views

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 $\mathbb{R}$. $\delta$...
0 votes
1 answer
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
0 votes
2 answers
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 ...
0 votes
1 answer
105 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
1 answer
451 views

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)...
0 votes
0 answers
74 views

Seed Values guaranteed convergence of Implied Volatility Calculation

Looking for good seed values for Newton Raphson to guarantee convergence of implied volatility calculation for a few models, all of which are for equities that have divs. 1) Bjerksund-Stensland 2002; ...