Consistent modeling of dividends and futures

M.H. Vellekoop, J.W. Nieuwenhuis

    Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

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    Abstract

    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.
    Original languageEnglish
    Title of host publicationProceedings International Conference on Applied Mathematics 2005
    Place of PublicationBandung, Indonesia
    PublisherInstitut Teknologi Bandung
    Pages279-291
    Number of pages13
    ISBN (Print)90-3652244-7
    Publication statusPublished - 2005

    Fingerprint

    Dividends
    Modeling
    Cash dividends
    Payment
    Futures contracts

    Keywords

    • Dividends
    • Futures
    • Financial modeling

    Cite this

    Vellekoop, M. H., & Nieuwenhuis, J. W. (2005). Consistent modeling of dividends and futures. In Proceedings International Conference on Applied Mathematics 2005 (pp. 279-291). Bandung, Indonesia: Institut Teknologi Bandung.
    Vellekoop, M.H. ; Nieuwenhuis, J.W. / Consistent modeling of dividends and futures. Proceedings International Conference on Applied Mathematics 2005. Bandung, Indonesia : Institut Teknologi Bandung, 2005. pp. 279-291
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    abstract = "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.",
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    author = "M.H. Vellekoop and J.W. Nieuwenhuis",
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    Vellekoop, MH & Nieuwenhuis, JW 2005, Consistent modeling of dividends and futures. in Proceedings International Conference on Applied Mathematics 2005. Institut Teknologi Bandung, Bandung, Indonesia, pp. 279-291.

    Consistent modeling of dividends and futures. / Vellekoop, M.H.; Nieuwenhuis, J.W.

    Proceedings International Conference on Applied Mathematics 2005. Bandung, Indonesia : Institut Teknologi Bandung, 2005. p. 279-291.

    Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

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    AB - 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.

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    Vellekoop MH, Nieuwenhuis JW. Consistent modeling of dividends and futures. In Proceedings International Conference on Applied Mathematics 2005. Bandung, Indonesia: Institut Teknologi Bandung. 2005. p. 279-291