Dividend forecast biases in index option valuation

DOI10.1023/A:1011335530815MaRDI QIDQ375338zbMATH OpenOpenAlexFDO

Authors Don M. Chance, Raman Kumar, Don Rich

Publication date 29 October 2013

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1011335530815

zbMATH Keywords

dividend forecastingindex optionsoption pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(7)

• Index-option pricing with stochastic volatility and the value of accurate variance forecasts
• Dividend derivatives
• Estimating discrete dividends by no-arbitrage
• Dividend derivatives
• Can outstanding dividend payments be estimated by American options?
• Discrete dividends and the FTSE-100 index options valuation
• DIVIDENDS AND UNCERTAINTY: EVIDENCE FROM THE ITALIAN MARKET

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