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Pricing of single stock futures and dividend risk

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dc.contributor.author Venter, Emmerentia Hendrika Antoinetta
dc.contributor.author Swart, B.
dc.date.accessioned 2012-10-22T10:35:06Z
dc.date.available 2012-10-22T10:35:06Z
dc.date.issued 2011
dc.identifier.citation Swart, A. & Venter, E.H.A. 2011. Pricing of single stock futures and dividend risk. Investment analysts journal, 73:37-42. [http://www.iassa.co.za/journals/] en_US
dc.identifier.issn 1029-3523
dc.identifier.issn 2077-0227 (Online)
dc.identifier.uri http://hdl.handle.net/10394/7539
dc.description.abstract In this paper we consider the fair pricing of single stock futures (SSFs) and the effect of dividend risk on the dividend compensation component in the pricing formulas. SSF valuation is subject to the pricing of discrete cash dividends (not percentages or dividend yields) in the underlying stock. Discrete cash dividends present modelling challenges which are not present when dividends are in the form of yields or percentages. Problems are created for market-makers and investors when the actual cash dividend is different from that predicted by analysts and used for pricing. We propose a new model for the fair price of a single stock futures contract which addresses dividend uncertainty. en_US
dc.language.iso en en_US
dc.publisher Investement Analyst Society of South Africa en_US
dc.title Pricing of single stock futures and dividend risk en_US
dc.type Article en_US


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