dividend-protected options
Posted: December 7th, 2022, 8:39 pm
I understand that a too elementary model will lead to the wrong Greeks and inappropriate hedge ratios, thereby crippling any arbitrage strategy.
I read something about dividend bleeding effect and some kind of jump-dividend approach for a stock paying continuous dividends.
Cant find any papers at the internet related with this matter.
Any one has a clue of how this model works ?
I read something about dividend bleeding effect and some kind of jump-dividend approach for a stock paying continuous dividends.
Cant find any papers at the internet related with this matter.
Any one has a clue of how this model works ?