Download This PaperAn Analysis of the Equity Local Volatility Model with Affine Dividends
8 Pages Posted: 7 Dec 2018
Date Written: September 1, 2011
Abstract
This note discusses the impact of dividend modelling on the pricing of equity exotic derivatives under a local volatility model. It explains how the level of the implied local variance is adjusted as the contribution of proportional dividends is increased and characterises the impact of the mixture specification on the forward transition probability of the equity spot process.
Keywords: derivatives, equity, local, volatility, dividend, modeling, stochastic
JEL Classification: C02, G13
Suggested Citation: Suggested Citation
Vong, Ghislain, An Analysis of the Equity Local Volatility Model with Affine Dividends (September 1, 2011). Available at SSRN: https://ssrn.com/abstract=3282319 or http://dx.doi.org/10.2139/ssrn.3282319
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.