Extracting implied dividends from options prices: Some applications to the Italian derivatives market
Author:
Publisher
Springer Milan
Link
http://link.springer.com/content/pdf/10.1007/978-88-470-2342-0_37
Reference8 articles.
1. Alpert, K.: The effects of taxation on put-call parity, Account. Finance 49, 445–464 (2009)
2. Brooks, R.M.: Dividend predicting using put-call parity, Int. Rev. Econ. Finance 3, 373–392 (1994)
3. Harvey, C.R., Whaley, R.E.: Dividends and S&P Index option valuation, J. Futures Mark. 12, 12–137 (1992)
4. Haug, E.S., Haug, J., Lewis, A.: Back to basics: A new approach to discrete dividend problem, Wilmott Mag. 9 (2003)
5. Jiang, G.J., Tian, Y.S.: Extracting model-free volatility from option prices: an examination of the VIX index, J. Deriv. 14, 35–60 (2007)
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