Estimating implied dividend from real market data
Qi Cao

Site of the project:
TU Delft

start of the project: April 2005

Summary of the master project:
In this work we aim at evaluating different models used to included a discrete dividend payment (once or twice a year) into the Black-Scholes framework. By solving the inverse problem (input is the option price, the asset price, and some known market parameters, output is the implied volatility and the implied dividend) we investigate which model is typically being used by market makers for discrete dividend. We analyse the quality of the model for time close to and far from the dividend payment with real market data from the Amsterdam option exchange. The Black-Scholes partial differential operator is used for the American option pricing.

Contact information: Kees Vuik

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