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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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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 ...
BaroqueFreak's user avatar
12 votes
1 answer
10k views

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 ...
sets's user avatar
  • 1,471
0 votes
1 answer
465 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 ...
Chell's user avatar
  • 3
8 votes
1 answer
2k views

Implied vol and model calibration for an american option on a dividend paying stock - is there a market standard pricing model?

In terms of calibrating a pricing model to observed prices for American options on a dividend paying stock, is there a standard way of doing this in practice? My initial thought was to use CRR ...
AShortSqueeze's user avatar
7 votes
2 answers
956 views

Cochrane on Return Predictability

Being a lover of Sir Arthur Conan Doyle's work, I picked up a copy of Cochrane’s 2008 paper, The Dog That Did Not Bark: A Defense of Return Predictability and read: If returns are not predictable, ...
Anthony de Freitas's user avatar
6 votes
1 answer
4k views

Implied Dividend from American Options (in practice)

I just tried to price the implied dividend for a few active, liquid options markets using current prices and I am not convinced my results are accurate. I am using American options, and using the put-...
Jared's user avatar
  • 745
2 votes
2 answers
1k views

Delta one trading: dependence on repo rate?

I have heard a delta-one trader mentioning the dependency of its activity on interest rates, dividend yields and repo rates. While I can understand the exposure he has to interest rates and dividend ...
JejeBelfort's user avatar
  • 1,219
2 votes
1 answer
473 views

What is the analogue used by Hull to price European calls with known cash dividends?

From The Book by Hull: And Hull's comment: This rule is analogous to the one developed in Section 14.12 for valuing a European option on a stock paying known cash dividends. (In that case we ...
Vim's user avatar
  • 903
0 votes
1 answer
4k views

Calculating annualized continuous dividend yield

What would be a formula for calculating the annualized continuous dividend yield of a stock? Given the quarterly or annual dividend
foshizzle's user avatar
  • 432
-2 votes
2 answers
952 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.
Thomas Ash's user avatar
-2 votes
1 answer
510 views

Dividend Yields of the S&P500

Straightforward question; Is it possible to find dividend yields of the S&P 500 on a daily basis (or at least the dividends of the S&P 500)? I have been looking everywhere and can't find ...
Hercules Apergis's user avatar