Hi all,
I'm trying to verify the following true statement with a reference from any proper textbook or academic paper,
"The value of an out-of-the-money option that is a function of the expected dividend payout, immediately before the ex dividend date, is effectively zero."
This is a logical and true statement. Could someone point me to a phrase or page in "Options, Futures, and Other Derivatives", "The Mathematics of Financial Derivatives", or any other well-known textbook/paper in our field that could verify this claim?
Thanks a lot.
I'm trying to verify the following true statement with a reference from any proper textbook or academic paper,
"The value of an out-of-the-money option that is a function of the expected dividend payout, immediately before the ex dividend date, is effectively zero."
This is a logical and true statement. Could someone point me to a phrase or page in "Options, Futures, and Other Derivatives", "The Mathematics of Financial Derivatives", or any other well-known textbook/paper in our field that could verify this claim?
Thanks a lot.