I have a question regarding quanto options in the interdealer market. When a trader hedges his quanto risk in the interdealer market, he trades...
Thanks a lot for answering. Yes, standard broker-market structure. A term sheet would be very useful...
Exactly - synthetic forwards.
There are certain tech stocks in US which don't pay dividends hence the financing cost can be directly observed from synthetic forward prices....
Does anyone have any other ideas?
Thanks a lot for your replies. I'm just wondering about two things: How do you adjust forward price for dividend tax rates? If there is a listed...
Actually my question was more single-stock oriented. For indices it's easier because there are div futures quoted with long expiries (up to 10y).
Thanks a lot for your insight! Besides, from what i've observed there is a significant risk premium in implied dividends far out (implied divs...
Let's assume I was able to imply dividends from liquid options for the next 3 years, but I want to price an option expiring in the 4rd year from...
How reasonable it is to assume that the forwards (implied through call-put parity from European options) on easy-to-borrow European stocks will...
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