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On the value of european options on a stock paying a discrete dividend at uncertain date
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Orientador(es)
Resumo(s)
The purpose of this paper is to evaluate the impact of uncertainty about
the dividend date on the value of European options in the context of the
Black-Scholes model. We use an arbitrarily accurate numerical approximation
for the value of this type of instrument on a stock paying a discrete
dividend, considering di erent probability distributions over the date of
dividend payment, and comparing with the deterministic case. We nd
that the main determinant is the skewness of the probabilistic distribution.
For positive skewness, uncertainty about the dividend payment day
decreases the value of the option, and negative skewness has the opposite
e ect for standard parameters. However, if interest rates are negative,
volatility is small enough and the option is su ciently in the money, the
impact of uncertainty is reverted. The understanding of this mechanism
may have practical implications for hedging strategies.
Descrição
Palavras-chave
European options Discrete dividends Uncertain ex-dividend date