C clarodina Feb 13, 2013 #1 does call option price fall on the dividend amount on ex? more distant option fall more?
R RPEX Feb 14, 2013 #2 Quote from clarodina: does call option price fall on the dividend amount on ex? more distant option fall more? 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)
Quote from clarodina: does call option price fall on the dividend amount on ex? more distant option fall more? 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)
