Implied volatilities of American options with cash dividends: an application to Italian Derivatives Market (IDEM)
Martina Nardon () and
No 195, Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia
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.  and in the binomial model, with an application to the Italian Derivatives Market.
Keywords: Options on stocks; discrete dividends; implied volatilities. (search for similar items in EconPapers)
JEL-codes: C63 G13 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:vnm:wpaper:195
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