Estimating implied dividend from real market data
Qi Cao
Site of the project:
TU Delft
start of the project: April 2005
Summary of the master project:
In this work we aim at evaluating different models used to included
a discrete dividend payment (once or twice a year) into the
Black-Scholes
framework.
By solving the inverse problem (input is the option price, the asset
price,
and some known market parameters, output is the implied volatility and
the
implied dividend) we investigate which model is typically being used
by
market makers for discrete dividend. We analyse the quality of the
model for
time close to and far from the dividend payment with real market data
from
the Amsterdam option exchange. The Black-Scholes partial differential
operator is used for the American option pricing.
Contact information:
Kees
Vuik
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