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A0376
Title: Forecasting discrete dividends by no-arbitrage Authors:  Sascha Desmettre - University of Kaiserslautern (Germany) [presenting]
Sarah Gruen - Fraunhofer Institute for Industrial Mathematics ITWM (Germany)
Frank Thomas Seifried - University of Trier (Germany)
Abstract: The aim is to develop and showcase a simple no-arbitrage methodology for the prediction of discrete dividend payments, based exclusively on market prices of options via the put-call parity. Our approach integrates all available option market data and simultaneously calibrates the market-implied discount curve, thus ensuring consistency across spot and derivative markets. We illustrate our method using stocks from the German blue-chip index DAX.