Derive the expression for implied volatility under the subtractive dividend model, and demonstrate that a solution exists

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Derive the expression for implied volatility under the subtractive dividend model, and demonstrate that a solution exists only for strikes above the forward value of cash dividends up to the expiry of the option in question.

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The Value Of Uncertainty Dealing With Risk In The Equity Derivatives Market

ISBN: 9781848167728,9781908979582

1st Edition

Authors: George Kaye

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Question Posted: Jul 24, 2024 10:00 AM

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Derive the expression for implied volatility under the subtractive dividend model, and demonstrate that a solution exists

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The Value Of Uncertainty Dealing With Risk In The Equity Derivatives Market

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