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Dividend Derivatives

Tunaru, R.S. (2017) Dividend Derivatives. Quantitative Finance, 18 (1). pp. 63-81. ISSN 1469-7688. E-ISSN 1469-7696. (doi:10.1080/14697688.2017.1322218) (KAR id:61555)

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Official URL
http://dx.doi.org/10.1080/14697688.2017.1322218

Abstract

Dividend derivatives are not simply a by-product of equity derivatives. They constitute a distinct growing market and an entire suite of dividend derivatives are offered to investors. In this paper we look at two potential models for equity index dividends and discuss their theoretical and practical merits. The main results emerge from a downward jump-diffusion model with beta distributed jumps and a stochastic logistic diffusion model, both able to capture the particular dynamics observed for dividends and cum-dividends, respectively, in the market. Smile calibration results are discussed with market data on Dow Jones Euro STOXX50 DVP dividend index for futures and European call and put options

Item Type: Article
DOI/Identification number: 10.1080/14697688.2017.1322218
Uncontrolled keywords: dividend derivatives, stochastic logistic diffusion, market price
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Radu Tunaru
Date Deposited: 25 Apr 2017 14:36 UTC
Last Modified: 07 Oct 2021 13:39 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/61555 (The current URI for this page, for reference purposes)
Tunaru, R.S.: https://orcid.org/0000-0002-5623-9876
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