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

Author

Listed:
  • 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.

Suggested Citation

  • Martina Nardon & Paolo Pianca, 2009. "Implied volatilities of American options with cash dividends: an application to Italian Derivatives Market (IDEM)," Working Papers 195, Department of Applied Mathematics, Universit√† Ca' Foscari Venezia.
  • Handle: RePEc:vnm:wpaper:195
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    Keywords

    Options on stocks; discrete dividends; implied volatilities.;

    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

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