Showing posts with label discrete dividend. Show all posts
Showing posts with label discrete dividend. Show all posts

Thursday, September 24, 2009

Uselessness of div yields

Tried to figure out how to calculate implied volatilities for a complete index surface today. Didn't come out to well...

Since I didn't have discrete dividends for all the constituents for the underlyings, I tried to use a continous dividend yield. That does not work ... of course. From where to where should the div yield span?

Tomorrow it's time for a redefinition and a hunt for a daily update of the index constituents. Perhaps it's possible to back a relevant and approximate div yield from the futures market. I'll try that as well.