Implied volatilities of American options with cash dividends: an application to Italian Derivatives Market (IDEM)
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.  and in the binomial model, with an application to the Italian Derivatives Market.
|Date of creation:||Nov 2009|
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