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Dividend-rollover effect and the ad hoc black-scholes model

Choi, Youngsoo; Jordan, Steven J.; Ok, Soonchan - In: The journal of futures markets 32 (2012) 8, pp. 742-772

Persistent link: https://www.econbiz.de/10009554754

Effects of rollover strategies and information stability on the performance measures in options markets : an examination of the KOSPI 200 index options market

Choi, Youngsoo; Ok, Soonchan - In: The journal of futures markets 32 (2012) 4, pp. 360-388

Persistent link: https://www.econbiz.de/10010218778

Dividend-Rollover Effect and the Ad Hoc Black-Scholes Model

Choi, Youngsoo - 2012

One of the most widely used option-valuation models among practitioners is the ad hoc Black-Scholes (AHBS) model. The main contribution of this study is methodological. We carefully consider three dividend strategies (No dividend, Implied-forward dividend, and Actual dividend) for the AHBS model...

Persistent link: https://www.econbiz.de/10013100649

Dividend‐Rollover Effect and the Ad Hoc Black‐Scholes Model

Choi, Youngsoo; Jordan, Steven J.; Ok, Soonchan - In: Journal of Futures Markets 32 (2012) 8, pp. 742-772

Persistent link: https://www.econbiz.de/10011006038

Dividend‐Rollover Effect and the Ad Hoc Black‐Scholes Model

Choi, Youngsoo; Jordan, Steven J.; Ok, Soonchan - In: The journal of futures markets 32 (2012) 8, pp. 742-773

Persistent link: https://www.econbiz.de/10009978687