Implied volatilities of American options with cash dividends: an application to Italian Derivatives Market (IDEM)
AbstractIn 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.  and in the binomial model, with an application to the Italian Derivatives Market.
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Bibliographic InfoPaper provided by Department of Applied Mathematics, Università Ca' Foscari Venezia in its series Working Papers with number 195.
Length: 19 pages
Date of creation: Nov 2009
Date of revision:
Options on stocks; discrete dividends; implied volatilities.;
Find related papers by JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-19 (All new papers)
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