Utilize este identificador para referenciar este registo: http://hdl.handle.net/10362/15411
Título: The accuracy of the escrowed dividend model on the value of European options on a stock paying discrete dividend
Autor: Wu, Weiqing
Orientador: Matos, João Amaro de
Data de Defesa: Jan-2015
Resumo: This project characterizes the accuracy of the escrowed dividend model on the value of European options on a stock paying discrete dividend. A description of the escrowed dividend model is provided, and a comparison between this model and the benchmark model is realized. It is concluded that options on stocks with either low volatility, low dividend yield, low ex-dividend to maturity ratio or that are deep in or out of the money are reasonably priced with the escrowed dividend model.
URI: http://hdl.handle.net/10362/15411
Designação: A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
Aparece nas colecções:NSBE: Nova SBE - MA Dissertations

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