Dividend Adjusted Model to value Short Term Options
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Dividend Adjusted Model to value Short Term Options
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This program calculates the value of a short term option (< 1 year) adjusting for dividends by subtracting the present value of expected dividend from the current value of the asset.
It considers the present value of expected dividends during the option life.
The user has to input the following variables:
1. Current market value of the underlying asset
2. Variance in the ln(value) of the underlying asset
3. Strike price of the option
4. Riskless interest rate that corresponds to the life of the option
5. Time to expiration on the option
6. Expected dividends and date of ex-dividend payments.
Note: this model is being shared with the authorization of Professor Aswath Damodaran from NYU Stern Business School (www.damodaran.com)
It considers the present value of expected dividends during the option life.
The user has to input the following variables:
1. Current market value of the underlying asset
2. Variance in the ln(value) of the underlying asset
3. Strike price of the option
4. Riskless interest rate that corresponds to the life of the option
5. Time to expiration on the option
6. Expected dividends and date of ex-dividend payments.
Note: this model is being shared with the authorization of Professor Aswath Damodaran from NYU Stern Business School (www.damodaran.com)
