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Garrett DeSimone, Head of Quantitative Research at OptionMetrics

Alpha Exchange

CHAPTER

Developing a Model for Calculating Implied Dividends in the Options Market

The chapter explores the creation of a novel model to determine implied dividends for dividend paying stocks by solving for implied volatility and dividends simultaneously. It also discusses historical trends, the shrinking dividends risk premium, and the use of this measure for hedging dividend payments in the options market.

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