Consistent modeling of dividends and futures

M.H. Vellekoop, J.W. Nieuwenhuis

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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

    Keywords

    • Dividends
    • Futures
    • Financial modeling

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  • 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.