Well, "doh" Think about it, for a European option it's just a matter of assuming a conservative-enough dividend drop and making sure you are not right on top of the ex-date (right before for -c/+p, right on for +c/-p). If I was pricing American, I'd be SO careful about ex-dates since you are carrying real risk to these dates. PS. I should have added physical delivery to the list of requirements too.
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 market up until 3 years and you want to price 4y, would use still use historicall growth rates somehow or extrapolate implied dividends? Why for longer terms proportional dividends are preferred?
The fundamental issue with AAPL over the long run is if it becomes a different company in 4 years. There is a well known trade that performed poorly because the buyers of vol did not see this. If I could buy AAPL divs at flat, I would do it all day long.
Indeed, though in 2008 the firm was happy to have it, IIRC (do you remember differently?) Of course, it blew out 2 successive heads of EqD and pretty much everyone involved.