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Year of publication
Subject
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Options on stocks 1 discrete dividends 1 implied dividends 1 implied volatilities 1 lattice methods 1
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Nardon, Martina 1 Pianca, Paolo 1
Institution
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Dipartimento di Economia, Università Ca' Foscari Venezia 1
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Working Papers / Dipartimento di Economia, Università Ca' Foscari Venezia 1
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RePEc 1
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Extracting information on implied volatilities and discrete dividends from American options prices
Nardon, Martina; Pianca, Paolo - Dipartimento di Economia, Università Ca' Foscari Venezia - 2012
This contribution deals with options on assets which pay cash dividends. Pricing methods which consider discrete dividends are usually computationally expensive; a first purpose of this paper is to study efficient and accurate numerical procedures which yield consistent prices for both European...
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