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Arbitrage Theory in Continuous Time$
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Tomas Björk

Print publication date: 2004

Print ISBN-13: 9780199271269

Published to Oxford Scholarship Online: October 2005

DOI: 10.1093/0199271267.001.0001

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Dividends

Dividends

Chapter:
(p.225) 16 Dividends
Source:
Arbitrage Theory in Continuous Time
Author(s):

Tomas Björk (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0199271267.003.0016

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

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