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Estimating discrete dividends by no-arbitrage

Desmettre, S; Grun, S; Seifried, FT

Grun, S (reprint author), Fraunhofer Inst Ind Math ITWM, Fraunhofer Pl 1, D-67663 Kaiserslautern, Germany.

QUANTITATIVE FINANCE, 2017; 17 (2): 261

Abstract

We develop and showcase a simple no-arbitrage methodology for the valuation of discrete dividend payments, based exclusively on market prices of optio......

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