Implied volatilities of American options with cash dividends: an application to Italian Derivatives Market (IDEM)
Year of publication: |
2009-11
|
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Authors: | Nardon, Martina ; Pianca, Paolo |
Institutions: | Dipartimento di Matematica Applicata, Università Ca' Foscari Venezia |
Subject: | Options on stocks | discrete dividends | implied volatilities |
Extent: | application/pdf |
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Series: | Working Papers. - ISSN 1828-6887. |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 195 19 pages |
Classification: | C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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