A Simple Pricing Model for Plain-Vanilla Dividend Futures Options

This technical note provides a detailed description of a simple but effective modeling solution to mark and risk manage plain-vanilla options on dividend futures. We focus on equity indices, as dividend products for single stocks are less liquid and observable and we derive a simple pricing formula for dividend futures options based on a dynamic replication argument. The simplicity of the derived pricing methodology makes it particularly relevant for marking-making purpose

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Year of publication:	2019
Authors:	Vong, Ghislain
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Dividende \| Dividend \| Derivat \| Derivative \| Optionspreistheorie \| Option pricing theory \| CAPM \| Warenbörse \| Commodity exchange \| Optionsgeschäft \| Option trading

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