Extracting Information on Implied Volatilities and Discrete Dividends From American Option Prices  

作　　者：Martina Nardon Paolo Pianca 

机构地区：[1]University Ca' Foscari of Venice, Venice, Italy

出　　处：《Journal of Modern Accounting and Auditing》2013年第1期112-129,共18页现代会计与审计（英文版）

摘　　要：This paper deals with options on assets, such as stocks or indexes, which pay cash dividends. Pricing methods which consider discrete dividends are usually computationally expensive and become infeasible when one considers multiple dividends paid during the option lifetime. This is the case of long-term options and options on indexes. The first purpose of this paper is to assess efficient and accurate numerical procedures which yield consistent prices for both European and American options when the underlying asset pays discrete dividends. The authors then analyze some methodologies to extract information on implied volatilities and dividends from quoted option prices. Implied dividends can also be computed using a modified version of the well-known put-call parity relationship. This technique is straightforward, nevertheless, its use is limited to European options, and when dealing with equities, most traded options are of American type. As an alternative, the numerical inversion of pricing methods, such as efficient interpolated binomial method, can be used. This paper applies different procedures to obtain implied volatilities and dividends of listed stocks of the Italian derivatives market （IDEM）.

关 键 词：options on stocks discrete dividends lattice methods implied volatilities implied dividends 

分 类 号：F830.9[经济管理—金融学] TP393[自动化与计算机技术—计算机应用技术]