On the impact of a scrip dividend on an equity forward

2016 ◽  
Vol 03 (04) ◽  
pp. 1650024
Author(s):  
German Bernhart ◽  
Jan-Frederik Mai
Keyword(s):  
Stock Price ◽  
Strike Price ◽  
Stock Volatility ◽  
Time Period ◽  
Black Scholes ◽  
Forward Contract ◽  
Averaging Time ◽  
The Right ◽  
The Impact ◽  
Time Point

We consider an equity forward contract on a stock which pays a dividend during the forward’s lifetime. Furthermore, the stock owner is assumed to have the right to opt for either cash or scrip dividend. In the latter case, the stock owner receives the dividend in the form of additional shares and the number of shares to be received depends on the average stock price in a certain averaging time period. The decision between scrip or cash must be made by the stock owner at some time point during the averaging period. Within a Black–Scholes-type setup we derive a closed formula for the fair strike price of such an equity forward contract in dependence on the stock volatility parameter. If the decision between scrip or cash can be delayed until close to the end of the averaging period, it is demonstrated how the optionality for the stock owner has a non-negligible value which lowers the forward equity strike.

scholarly journals OPTIONS WRITTEN ON STOCKS WITH KNOWN DIVIDENDS

2004 ◽  
Vol 07 (07) ◽  
pp. 901-907
Author(s):  
ERIK EKSTRÖM ◽  
JOHAN TYSK
Keyword(s):  
Stock Price ◽  
Option Price ◽  
Option Prices ◽  
Strike Price ◽  
Call Options ◽  
Alternative Approach ◽  
Black Scholes ◽  
Market Practice ◽  
The Difference ◽  
Risk Free Rate

There are two common methods for pricing European call options on a stock with known dividends. The market practice is to use the Black–Scholes formula with the stock price reduced by the present value of the dividends. An alternative approach is to increase the strike price with the dividends compounded to expiry at the risk-free rate. These methods correspond to different stock price models and thus in general give different option prices. In the present paper we generalize these methods to time- and level-dependent volatilities and to arbitrary contract functions. We show, for convex contract functions and under very general conditions on the volatility, that the method which is market practice gives the lower option price. For call options and some other common contracts we find bounds for the difference between the two prices in the case of constant volatility.

scholarly journals Penentuan Harga Opsi Barrier Menggunakan Metode Trinomial Kamrad-Ritchken Dengan Volatilitas Model Garch

2019 ◽  
Vol 10 (1) ◽  
pp. 83-92
Author(s):  
S Sulastri ◽  
Lienda Novieyanti ◽  
Sukono Sukono
Keyword(s):  
Stock Price ◽  
Option Price ◽  
Barrier Options ◽  
Barrier Option ◽  
Market Conditions ◽  
Strike Price ◽  
Daily Data ◽  
Closing Price ◽  
The Right ◽  
Initial Price

Abstract. This study aims to minimize the violation of the assumptions of determining price options by taking into account the actual market conditions in order to obtain the right price that will provide high profits for investors. The method used to determine the option price in this study is the Kamrad Ritchken trinomial with volatility values that will be modeled first using GARCH. The data used in this study is daily data (5 working days per week) from the closing price of the stock price of PT. Bank Rakyat Indonesia, Tbk (BBRI. Based on the results of the research, the best model is GARCH (1,1). For the call up barrier option, increase the strike price with the initial price and barrier which causes the option price to call up the barrier "in" and "out" decreases, on the contrary to the put barrier option, an increase in strike price with the initial price and a barrier that causes the put barrier option price to both put up-in and put up-out. initial and barrier which still causes the call down barrier option price both in and out decreases, on the contrary in the put down barrier option, increasing strike price with the initial price and barrier which causes the put down barrier option price to increase in and out.Keywords: Barrier Options, Trinomial, Kamrad Ritchken, Volatility, GARCH  Abstrak. Penelitian ini bertujuan untuk meminimalkan pelanggaran asumsi-asumsi penentuan harga opsi dengan memperhatikan kondisi pasar yang sebenarnya sehingga diperoleh harga yang tepat yang akan memberikan keuntungan tinggi bagi investor. Metode yang digunakan untuk menentukan harga opsi dalam penelitian ini adalah trinomial Kamrad Ritchken dengan nilai volatilitas yang akan dimodelkan terlebih dahulu dengan menggunakan GARCH. Data yang digunakan dalam penelitian ini adalah data harian (5 hari kerja per minggu) dari harga penutupan harga saham PT. Bank Rakyat Indonesia, Tbk (BBRI). Berdasarkan hasil penelitian diperoleh model yang paling baik adalah GARCH (1,1). Untuk opsi call up barrier, peningkatan strike price dengan harga awal dan barrier yang tetap menyebabkan harga opsi call up barrier baik "in" maupun "out" menurun, sebaliknya pada opsi put barrier, peningkatan strike price dengan harga awal dan barrier yang tetap menyebabkan harga opsi put barrier baik put up-in maupun put up-out meningkat. Sedangkan untuk opsi call barrier, peningkatan strike price dengan harga awal dan barrier yang tetap menyebabkan harga opsi call down barrier baik in maupun out menurun, sebaliknya pada opsi put down barrier, peningkatan strike price dengan harga awal dan barrier yang tetap menyebabkan harga opsi put down barrier baik in maupun out meningkat.Kata Kunci :  Opsi Barrier, Trinomial, Kamrad Ritchken, Volatilitas, GARCH

The Diaspora and the Meanings of Palestinian Citizenship, 1925–1931

2016 ◽  
Author(s):  
Lauren Banko
Keyword(s):  
Latin America ◽  
Great Britain ◽  
International Community ◽  
Political Transformations ◽  
Time Period ◽  
Palestinian Society ◽  
History Of ◽  
The Right ◽  
The Impact ◽  
At Home

This chapter contextualises the discourses, influences, notions, and political transformations that informed Palestinian Arabs' understanding of nationality and citizenship in the diaspora (particularly in Latin America) and at home in the years leading up to and just after the 1925 Citizenship Order-in-Council. Importantly, it focuses on the impacts of these understandings in Palestinian society and as part of Arab relations with Great Britain as the mandatory power. It offers an entirely new history of the emigrants and their reactions to, and counter-definitions of, the type of legal and apolitical nationality and citizenship that Palestine Mandate and colonial officials attempted to craft during the same time period. The impact of citizenship legislation on the diaspora frames the introduction of debates, discussions and slogans within Palestine, such as the demand for the ‘right to return’ and letters of protest to the British and international community that underscored the grievances of the emigrants who lacked citizenship.

The Impact of Delivery Synergies on Bidding in the Georgia School Milk Market

2006 ◽  
Vol 6 (1) ◽  
Author(s):  
Robert C. Marshall ◽  
Matthew E. Raiff ◽  
Jean-Francois Richard ◽  
Steven P. Schulenberg
Keyword(s):  
Public Schools ◽  
Cost Savings ◽  
Parametric Estimation ◽  
Sealed Bid ◽  
Time Period ◽  
Using Data ◽  
The Right ◽  
Milk Market ◽  
The Impact ◽  
Academic Year

Abstract Each summer milk processors around the country participate in sealed bid procurements for the right to provide public schools with milk throughout the subsequent academic year. School district contracts are an important part of vehicle routing problems that milk processors solve on an ongoing basis. There are allegedly substantial cost savings for a milk processor from servicing a district that is directly adjacent to one they already service. In this paper, following the work of Krishna and Rosenthal (1996), we construct a procurement model allowing for cost synergies. The equilibrium bid function maps directly into an empirical specification. Using data from a time period when bidders were allegedly acting non-cooperatively, our structural parametric estimation results give significant support for the presence of cost synergies in the bidding.

scholarly journals PERBANDINGAN KEKONVERGENAN METODE CONDITIONAL MONTE CARLO DAN ANTITHETIC VARIATE DALAM MENENTUKAN HARGA OPSI CALL TIPE BARRIER

2018 ◽  
Vol 7 (3) ◽  
pp. 271
Author(s):  
NI LUH PUTU KARTIKA WATI ◽  
KOMANG DHARMAWAN ◽  
KARTIKA SARI
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Stock Price ◽  
Option Price ◽  
Life Time ◽  
Barrier Option ◽  
Strike Price ◽  
Stock Volatility ◽  
Volatility Risk ◽  
Conditional Monte Carlo

Barrier option is an option where the payoff price depends  on whether or not the stock price passes the barrier during its life time. The aim of the research is to compare the convergence between conditional Monte Carlo and antithetic variate methods in determining the call barrier option  price. The call barrier option price  is influenced by several factors: initial stock price, stock volatility, risk-free interest rate, maturity, strike price and barrier. The calculation of call barrier option price is obtained by simulating stock price movements with different simulation number. Based on the simulation result, it is obtained that the calculation of call barrier option price with conditional Monte Carlo method converge faster than the antithetic variate method.

scholarly journals ANALISIS SENSITIVITAS HARGA OPSI MENGGUNAKAN METODE GREEK BLACK SCHOLES

2018 ◽  
Vol 7 (2) ◽  
pp. 148
Author(s):  
DEVI NANDITA. N ◽  
KOMANG DHARMAWAN ◽  
DESAK PUTU EKA NILAKUSMAWATI
Keyword(s):  
Sensitivity Analysis ◽  
Stock Price ◽  
Price Change ◽  
European Option ◽  
Strike Price ◽  
Expiry Date ◽  
Hedging Strategies ◽  
Black Scholes

Sensitivity analysis can be used to carry out hedging strategies. The sensitivity value measures how much the price change of the option influenced by some parameters. The aim of this study is to determine the sensitivity analysis of the buying price of European option by using the Greek method on Black Scholes Formula. From this study we get the values of delta, gamma, theta, vega, and rho. The values of deltas, gamma, vega, and rho are positive, which means that the value of the option is more sensitive than the corresponding parameter. The most sensitive value of gamma is obtained when the stock price approaches the strike price and approaches the expiry date. The value of theta obtained is negative and hence the most sensitive theta value is when the value is getting smaller. While, the most sensitive value of vega is obtained when the stock price is close to the strike price and is far from the expiry date. The most sensitive value of rho is obtained when the stock price gets bigger and farther from the expiry date.

scholarly journals On the Impact of Dividend Payments on Stock Prices - an Empirical Analysis of the German Stock Market

2021 ◽  
Vol 16 (1) ◽  
pp. 255-269
Author(s):  
Konstantin Melching ◽  
Tristan Nguyen
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Signaling Theory ◽  
Share Price ◽  
Dividend Payment ◽  
Share Prices ◽  
Dividend Payments ◽  
Time Period ◽  
German Stock ◽  
The Impact

Abstract This paper examines the relation between dividend payments and stock prices of all firms in the German prime standard DAX 30 in the time period from 2012 to 2019. The irrelevance theory introduced by Miller and Modigliani states that dividend payments must not have an impact on stock prices in a perfect market. In contrast, the signaling theory and the dividend puzzle indicate that dividend payments are likely to have a profound impact on the stock price. According to our findings the ex-dividend decrease of stock prices was significantly smaller than the dividend payment. Nevertheless, the results support the impact of the dividend payment on the share price. Firstly, the existence of the ex-dividend markdown is a proof that dividend payments cause share price losses. Secondly, the study explains in particular that high dividend payments result in high share prices over the examined period. Thirdly, our analysis demonstrates a positive correlation between the dividend and the stock price development according to the signaling theory. Considering the above- mentioned results, we can conclude that the share price of a company is highly affected by the decision making of the company regarding the dividend policy.

scholarly journals The Evolutions, Transformations, and Adaptations in Beirut’s Public Spaces

2022 ◽  
Vol 7 (1) ◽  
Author(s):  
Christine Mady
Keyword(s):  
Public Space ◽  
Public Spaces ◽  
Time Period ◽  
Raising Awareness ◽  
New Public ◽  
Post War ◽  
The Right ◽  
Space Production ◽  
The 19Th Century ◽  
The Impact

Beirut, Lebanon, has been a nexus for the east and west, has undergone episodes of conflict including the civil war between 1975 and 1989, and still witnesses instability to the present. This status has affected its everyday life practices, particularly as manifested in its public spaces. Over time, Beirut’s population has reflected the ability to adapt to living with different states of public spaces; these include embracing new public space models, adjusting to living in the war-time period with annihilated public spaces, and establishing a reconnaissance with post-war reintroduced, securitized, or temporary public spaces. Lefebvre’s space production triad serves to distinguish among spaces introduced through planning tools, from spaces appropriated through immaterial space-markers, or spaces established through social practices. This article provides an overview of the evolution of Beirut’s public spaces, starting with the medieval city and through into the 19th century, before examining the impact of instability and the conditions leading to the emergence of social spaces in the post-war period. It particularly highlights public spaces after 2005—when civic activism played an important role in raising awareness on the right to inclusive public space—by referring to literature, conducting interviews with public space protagonists, and addressing a questionnaire survey to inhabitants. The cases of Martyrs Square, Damascus Road, and the Pine Forest are presented, among other spaces in and around Beirut. The article reflects on the ability of some public spaces to serve as tools for social integration in a society that was segregated in the bouts of Beirut’s instability.

Growing Big While Staying Small: Starbucks Harvests International Growth

2017 ◽  
pp. 1-22 ◽  
Author(s):  
Richard Honack ◽  
Sachin Waikar
Keyword(s):  
Stock Price ◽  
Global Economy ◽  
The United States ◽  
Economic Downturn ◽  
Value Proposition ◽  
International Growth ◽  
Global Brand ◽  
Loyal Customer ◽  
The Right ◽  
The Impact

By early 2009 Starbucks had nearly 17,000 stores worldwide, with about a third of these outside the United States. Despite multibillion-dollar annual revenues, the giant coffee retailer's yearly growth had declined by half, quarterly earnings had dropped as much as 97 percent, same-store sales were negative, and its stock price was languishing. Factors such as a global economic downturn and increasing competition in the specialty coffee market from large players such as McDonald's and Dunkin' Donuts had driven this decline, resulting in the closings of hundreds of domestic stores already, with many more planned. Founder Howard Schultz, who had recently returned as CEO, and his executive team were convinced that Starbucks's growth opportunities lay overseas, where the firm already had a strong foothold in markets like Japan and the United Kingdom and was preparing to open hundreds of new stores in a variety of locations. But recent international challenges, including the closing of most Australian stores due to sluggish sales, made clear that Starbucks had more to learn about bringing its value proposition—a combination of premium coffee, superior service, and a “coffeehouse experience”—to foreign soil. The key question was not whether Starbucks could transport its value proposition overseas, but how the value proposition's three elements would play in recently entered and new markets. And the stakes of making the right international moves rose with each U.S. store closure. Schultz and his team also faced a broader question, one that applied to both their U.S. and foreign stores: Could they “grow big and stay small,” remaining a huge retailer that delivered both high-quality products and a consistently intimate and enjoyable experience to consumers worldwide? This case presents this challenge in the context of Starbucks's history, well-established value proposition, and domestic and international growth and vision.The key objectives of the case focus on the successful growth of local city brand, to a country brand, to a global brand, leaving the questions: 1. How much more can it grow? 2. Can it? 3. What is the impact of new competitors in a given market and/or the impact of the global economy on discretionary spending by a loyal customer base? 4. How important is it to the sustain a brand's core value(s) proposition when innovating for new audiences and customer preferences?

scholarly journals The Impact of Margin Trading on Stock Volatility: Based on 2014 to 2016 Shanghai and Shenzhen 300 Index

2021 ◽  
Vol 16 (7) ◽  
pp. 78
Author(s):  
Chuanyang Gong
Keyword(s):  
Stock Market ◽  
Negative Correlation ◽  
Stock Price ◽  
Granger Causality Test ◽  
Paper Study ◽  
Test Results ◽  
Causality Test ◽  
Stock Volatility ◽  
Factors Affecting ◽  
The Impact

The paper study the impact of margin trading on the volatility of the stock market, We selected 469 observation values among the daily Shanghai and Shenzhen 300 index from May 2014 to March 2016. the Granger causality test results are obtained for the model. Empirically study shows that one of the factors affecting stock price fluctuation does include margin trading business, and shows a negative correlation, which plays a more stable role in the stock market.

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