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The pricing of Australian imputation tax credits : evidence from individual share futures contracts
Twite, Garry; Wood, Justin J. - 1997
Persistent link: https://www.econbiz.de/10000956066
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Evidence of ex-dividend trading by investor tax category
Felixson, Karl; Liljeblom, Eva - In: The European journal of finance 14 (2008) 1/2, pp. 1-21
Persistent link: https://www.econbiz.de/10003744666
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Dividends in the theory of derivative securites pricing
Nielsen, Lars Tyge - In: Economic theory : official journal of the Society for … 31 (2007) 3, pp. 447-471
Persistent link: https://www.econbiz.de/10003445212
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Closed formula for options with discrete dividends and its derivatives
Veiga, Carlos; Wystup, Uwe - In: Applied mathematical finance 16 (2009) 5/6, pp. 517-531
Persistent link: https://www.econbiz.de/10003916669
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On the timing and pricing of dividends
Binsbergen, Jules H. van; Brandt, Michael W.; Koijen, … - 2010
"We recover prices of dividend strips on the aggregate stock market using data from derivatives markets. The price of a … k-year dividend strip is the present value of the dividend paid in k years. The value of the stock market is the sum of … all dividend strip prices across maturities. We study the properties of strips and find that expected returns, Sharpe …
Persistent link: https://www.econbiz.de/10008697804
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A regularized fourier transform approach for valuing options under stochastic dividend yields
Dia, Baye M. - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 211-240
Persistent link: https://www.econbiz.de/10008860410
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Pricing and filtering in a two-dimensional dividend switching model
Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1001-1017
Persistent link: https://www.econbiz.de/10008906248
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Efficient pricing of derivatives on assets with discrete dividends
Vellekoop, Michel; Nieuwenhuis, J. H. - In: Applied mathematical finance 13 (2006) 3, pp. 265-284
Persistent link: https://www.econbiz.de/10003383705
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On the timing and pricing of dividends
Binsbergen, Jules H. van; Brandt, Michael W.; Koijen, … - 2011
We recover prices of dividend strips on the aggregate stock market using data from derivatives markets. The price of a … k-year dividend strip is the present value of the dividend paid in k years. The value of the stock market is the sum of … all dividend strip prices across maturities. We study the properties of strips and find that expected returns, Sharpe …
Persistent link: https://www.econbiz.de/10009009490
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Rational early exercise of call options : Australian evidence
Phang, Grace; Brown, Rob - In: Accounting and finance : journal of the Accounting … 51 (2011) 3, pp. 732-744
Persistent link: https://www.econbiz.de/10009304047