Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/21362
Título: | Discrete dividends and the FTSE-100 index options valuation |
Autor(es): | Areal, Nelson Rodrigues, Artur |
Palavras-chave: | American options Computacional finance Options pricing Monte Carlo methods Numerical methods for option pricing Derivative pricing models Computational finance |
Data: | 2014 |
Editora: | Taylor and Francis |
Revista: | Quantitative Finance |
Resumo(s): | 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. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/21362 |
DOI: | 10.1080/14697688.2011.618457 |
ISSN: | 1469-7688 |
Versão da editora: | http://www.tandfonline.com/doi/pdf/10.1080/14697688.2011.618457 |
Arbitragem científica: | yes |
Acesso: | Acesso restrito UMinho |
Aparece nas coleções: | NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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Discrete.pdf Acesso restrito! | Discrete dividends and the FTSE-100 index | 1,38 MB | Adobe PDF | Ver/Abrir |