Sponsored statement: The implied volatility surface in the presence of dividends
Standard Bank quantitative analyst Roelof Sheppard shows how absolute and proportional dividend payments give rise to arbitrage constraints on the implied volatility surface
Please click on the link below to open the PDF of Standard Bank's sponsored statement from the Oct issue of Risk.
Sponsored content
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Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net