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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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 ...
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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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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 ...
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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 ...
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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, ...
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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-...
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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 ...
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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 ...
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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
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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 ...
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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.