Discrete dividends and the FTSE-100 index options valuation

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...

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Detalhes bibliográficos
Autor principal: Areal, Nelson (author)
Outros Autores: Rodrigues, Artur (author)
Formato: article
Idioma:eng
Publicado em: 2014
Assuntos:
American options
Computacional finance
Options pricing
Monte Carlo methods
Numerical methods for option pricing
Derivative pricing models
Computational finance
Social Sciences
Science & Technology
Texto completo:http://hdl.handle.net/1822/21362
País:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/21362

Texto Completo

http://hdl.handle.net/1822/21362

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