We propose a framework for the modeling of futures and dividends, based on the concept of tradeable securities. We show how dividends can be incorporated in a consistent manner, both for the case of continuous dividend payments, and in the case of cash dividends. We then show that future contracts may be treated as a special case of these dividend models.
|Title of host publication||Proceedings International Conference on Applied Mathematics 2005|
|Place of Publication||Bandung, Indonesia|
|Publisher||Institut Teknologi Bandung|
|Number of pages||13|
|Publication status||Published - 2005|
- Financial modeling