Dividend forecast biases in index option valuation

DOI10.1023/A:1011335530815zbMATH Open1274.91405OpenAlexW1577985936MaRDI QIDQ375338FDOQ375338

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

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zbMATH Keywords

option pricingdividend forecastingindex options

Mathematics Subject Classification ID

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

Cited In (7)

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

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