EconPapers    
Economics at your fingertips  
 

Discrete dividends and the FTSE-100 index options valuation

Nelson Areal and Artur Rodrigues ()

Quantitative Finance, 2014, vol. 14, issue 10, 1765-1784

Abstract: This paper studies the effect of discrete dividends on the FTSE-100 index options valuation, following closely Harvey and Whaley's [ J. Fut. Mkts , 1992, 12 (2), 123-137] study on the S&P-100 index. To the best of our knowledge, no such study has ever been performed on FTSE-100 options, where the dividends have a discreteness pattern different from the S&P-100. Unlike the Harvey and Whaley study, both American and European options are considered, a more accurate benchmark is proposed, and a comprehensive comparison of the accuracy of a larger set of valuation methods is performed. It is shown that there are significant differences in accuracy and speed among different methods, and that, for both American and European options, a great deal of accuracy can be gained by using an approximation that takes into account the discrete nature of the FTSE-100 index option dividends.

Date: 2014
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/14697688.2011.618457 (text/html)
Access to full text is restricted to subscribers.

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:taf:quantf:v:14:y:2014:i:10:p:1765-1784

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2019-07-20
Handle: RePEc:taf:quantf:v:14:y:2014:i:10:p:1765-1784