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by adamnotsa
October 20th, 2017, 3:09 pm
Forum: General Forum
Topic: Equity Forward with cash dividends and stock lending
Replies: 2
Views: 1436

Equity Forward with cash dividends and stock lending

Hi, I have a problem getting my head around the following pricing problem. I want to price equity forward. I want to take into account the possibility of lending the stock in the replication portfolio. This is not an issue in case of no dividends as i just end up with S(t) * exp(stockLendingRate*tau...