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Quantitative Finance

Questions tagged [discrete-dividends]

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22 questions
Newest Active Bountied Unanswered
2 votes
1 answer
236 views

For a stock paying a single dividend prior to expiration, I would like to estimate the difference in value between an American call and a European call with the same expiration, strike and underlier. ...
krkeane's user avatar
  • 393
3 votes
1 answer
310 views

I'm not a quant, just an enthusiast. I am trying to implement in C++ the methodology published in the paper "Fast Quadrature Methods for Options with Discrete Dividends", by Thakoor and ...
Sarah Van Distel's user avatar
  • 33
0 votes
0 answers
510 views

For stocks when there is cash dividend, the Dupire formula should still hold according to Bergomi. In the book "Stochastic Volatility Modeling", he says: In the presence of cash-amount ...
happydog's user avatar
  • 101
-1 votes
1 answer
410 views

Suppose that the current stock price is $€100$, the exercise price is $€100$, the annually compounded interest rate is 5 percent, the stock pays a $€1$ dividend in the next instant, and the quoted ...
Winodd Dhamnekar's user avatar
  • 270
2 votes
1 answer
2k views

I'm trying to use the QuantLib library to price American options that pay discrete dividends. The call options are priced with good accuracy (generally <0.1% error), however the same inputs for a ...
Fermat's user avatar
  • 21
5 votes
0 answers
173 views

Good evening, The following problem is the sequel of a previous post I made here a few days ago. Consider the Black-Scholes model with discrete dividends in the interval $[0,T]$. This means that ...
Daniel F.'s user avatar
  • 83
1 vote
0 answers
513 views

Consider the Black-Scholes model with discrete dividends in the interval $[0,T]$. This means that there's a sequence of dates such that, $$0 < t_1 < \dots < t_k < \dots < t_n < T $$ ...
Daniel F.'s user avatar
  • 83
3 votes
1 answer
1k views

I am using end of day options data and want to extract discrete dividend information contained in the option prices. I am doing this for ETFs like SPY where I know the dividend schedule. These are the ...
darkforce's user avatar
  • 31
0 votes
1 answer
546 views

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 ...
Math122's user avatar
  • 443
1 vote
1 answer
581 views

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)...
Ryan J. Shrott's user avatar
  • 543
0 votes
0 answers
73 views

I've coded up a binomial tree version of the "Known Dollar Dividend" part of section 21.3 of Hull 10th Edition. I reproduce the answer in the book's example and also reproduce correctly a ...
dumdum's user avatar
  • 1
2 votes
1 answer
278 views

I need a help for the following question: A stock index is constructed by including only two stocks in the index. One of the stocks (Stock $1$) currently sells for $250$ dollar and the other stock (...
yorukobasi's user avatar
  • 21
0 votes
0 answers
100 views

Black Scholes is the market model for european and american options on an underlying paying no dividends. What is the standard market model for european or american options of underlyings paying ...
Olórin's user avatar
  • 1,262
0 votes
0 answers
80 views

I know that this is a very simple question, but i want to make sure to grasp the concept of ex dividend and value of portfolio. Suppose that we have a two period binomial tree of a stock with initial ...
user128422's user avatar
  • 111
8 votes
1 answer
5k views

I am having trouble using QuantLib with Python to calculate American options with discrete dividends. I am using Anaconda, Spyder, Python 3.6, and the most recent version of QuantLib. I created ...
fmc100's user avatar
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