Tomas Björk

in Arbitrage Theory in Continuous Time

Second edition

Published in print March 2004 | ISBN: 9780199271269
Published online October 2005 | e-ISBN: 9780191602849 | DOI:

Series: Oxford Finance Series


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This chapter examines pricing problems for contingent claims which are written on dividend paying underlying assets. The study of dividends is of practical importance since in real life, the majority of all traded options are written on stocks with at least one dividend left before the expiration date of the option. The theory developed in this chapter will be used in the study of currency derivatives and future contracts. Practice exercises are included.

Keywords: dividends; pricing; contingent claims; underlying assets

Chapter.  5699 words. 

Subjects: Financial Markets

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