Can outstanding dividend payments be estimated by American options?

DOI10.1080/14697688.2017.1401226MaRDI QIDQ5026523zbMATH OpenOpenAlexFDO

Authors Sascha Desmettre, Sarah Grün, Ralf Korn

Publication date 8 February 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2017.1401226

zbMATH Keywords

American optionsdividendsput-call inequality

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

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Cites work

• Dividend forecast biases in index option valuation
• Estimating discrete dividends by no-arbitrage
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)

Cited in

(1)

• Extracting implied dividends from options prices: Some applications to the Italian derivatives market

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