dividend yield of the underlying is high. This distortion is documented within the standard Black–Scholes–Merton model as well …

interest rates. Prices for dividend futures, bonds, and the dividend paying stock are given in closed form. We present an … specification has a good fit with Euribor interest rate swaps and swaptions, Euro Stoxx 50 index dividend futures and dividend …

valuation of DAX futures contracts and test the resulting hypotheses empirically. We find that dividend taxation cannot explain … these deviations. Futures prices are lower in years with higher dividend yields, and prices of the June contract (which is …. Multivariate regressions confirm the finding that dividend taxation affects futures prices. …

plain-vanilla options on dividend futures. We focus on equity indices, as dividend products for single stocks are less … liquid and observable and we derive a simple pricing formula for dividend futures options based on a dynamic replication …