Adjusting Volatility to Discrete Cash Dividends: Wilmott Magazine Article – Stéphane Mysona and Paul Zimmermann

This article studies the modeling of discrete cash dividends. We distinguish the escrowed dividend model from the stock price process jumping downwards at ex-dividend dates. We show how dividend jumps impact the second  moment of the stock terminal distribution.

Logged-in members can download the article by clicking the link under all the “Related Posts” below. If there isn’t a link then you aren’t logged in! To log in or register visit here.

Related Posts

All Change SciComp Inc has been a major provider of derivatives pricing and risk models for two decades. Dean Tallam discusses the firm's outlook on technology i...
Monte Carlo Simulation of Long-Term Dependent Proc... This article briefly describes the Cholesky method for simulating Geometric Brownian Motion processes with long-term dependence, also referred as Frac...
Steering a Bank Around a Death Spiral: Multiple Tr... In this paper we start with the introduction of two pricing models to value contingent convertibles. One model ("rule of thumb") has its roots in cred...
Calculating Value-at-Risk Using Option Implied Pro... Value-at-risk is a standard risk metric calculated to assess the upper limit on losses incurred by a portfolio due to adverse market moves for a speci...
The Heston–Hull–White Model Part III: Design and I... This is the third article in a series of three on financial modeling using the Heston–Hull–White model. The aim of this series is to show the full-lif...
Negative Probabilities in Financial Modeling: Wilm... We first define and derive general properties of negative probabilities. We then show how negative probabilities can be applied to modeling financial ...
The Heston-Hull-White Model Part II: Numerics and ... This is the second article in a series of three on financial modeling using the Heston-Hull-White model. The aim of this series is to show the full li...
Pricing Climate Derivatives With Nonlinear Models:... Given the large number of processes affecting global temperature in the climate system and the fact that these processes operate on different time sca...
161212_mysona_zimmerman