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Implied volatilities of American options with cash dividends: an application to Italian Derivatives Market (IDEM)

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Author Info

  • Martina Nardon

    () (Dept. of Applied Mathematics, University of Venice)

  • Paolo Pianca

    () (Dept. of Applied Mathematics, University of Venice)

Abstract

In this contribution, we study options on assets which pay discrete dividends. We focus on American options, as when dealing with equities, most traded options are of American-type. In particular, we analyze implied volatilities in the model proposed by Haug et al. [12] and in the binomial model, with an application to the Italian Derivatives Market.

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File URL: http://virgo.unive.it/wpideas/storage/2009wp195.pdf
File Function: First version, 2009
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Bibliographic Info

Paper provided by Department of Applied Mathematics, Università Ca' Foscari Venezia in its series Working Papers with number 195.

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Length: 19 pages
Date of creation: Nov 2009
Date of revision:
Handle: RePEc:vnm:wpaper:195

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Keywords: Options on stocks; discrete dividends; implied volatilities.;

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