Extracting Implied Dividends from Options Prices: some Applications to the Italian Derivatives Market

Martina Nardon () and Paolo Pianca

No 198, Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia

Abstract: This contribution deals with options on assets which pay discrete dividends. We analyze some methodologies to extract information on dividends from observable option prices. Implied dividends can be computed using a modified version of the well known put-call parity relationship. This technique is straightforward, nevertheless, its use is limited to European options and, when dealing with equities, most traded options are of American-type. As an alternative, numerical inversion of pricing methods can be used. We apply different procedures to obtain implied dividends of stocks of the Italian Derivatives Market.

Keywords: Implied dividends; put-call parity; option pricing; binomial methods. (search for similar items in EconPapers)
JEL-codes: C63 G13 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2010-09
New Economics Papers: this item is included in nep-cmp
References: Add references at CitEc
Citations:

Downloads: (external link)
http://virgo.unive.it/wpideas/storage/2010wp198.pdf First version, 2010 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to virgo.unive.it:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:vnm:wpaper:198

Access Statistics for this paper

More papers in Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia Contact information at EDIRC.
Bibliographic data for series maintained by Daria Arkhipova ().