Implied volatilities of American options with cash dividends: an application to Italian Derivatives Market (IDEM)
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KeywordsOptions on stocks; discrete dividends; implied volatilities.;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-19 (All new papers)
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