Discussion in 'Options' started by clarodina, Feb 13, 2013.
does call option price fall on the dividend amount on ex? more distant option fall more?
Yes because the call is a deferred purchase, therefore you won't get the div that the stock gets. Dunno about time sensitivity, google it.
Espen Haug reckons
Phi = -T*S*e^(b-r)T * N(d1)
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