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Forecasting discrete dividends by no-arbitrage

: Desmettre, S.; Grün, S.; Seifried, F.

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Social Science Research Network : SSRN. eLibrary (2015), 15 pp.
Journal Article, Electronic Publication
Fraunhofer ITWM ()
dividends; prediction; arbitrage; put-call parity; market-implied discount curve

We develop and showcase a simple no-arbitrage methodology for the prediction of discrete dividend payments, based exclusively on market prices of options via the put-call parity. Our approach integrates all available option market data and simultaneously calibrates the market-implied discount curve, thus ensuring consistency across spot and derivative markets. We illustrate our method using stocks from the German blue-chip index DAX.