The aim of this project is to better understand and price American options on underlyings paying discrete dividends.
The other goal is to generate and calibrate a model as fit as possible, avoiding arbitrability of the volatility surface.
Research Paper (Fill in the form to download it)
Enjoy the learning by reading bite-sized lessons followed by review questions. No prior experience is needed.
Enjoy the learning by reading bite-sized lessons followed by review questions. No prior experience is needed.
Melanion Capital SAS is an independent investment management company which is authorized and regulated by the AMF “Autorités des Marchés Financiers” under the number GP-13000020.
©️ 2024 Melanion Capital. All rights reserved
