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Pricing Partners Delivers Models for Stochastic Dividends

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Pricing Partners announced today that its derivatives pricing library, Price-it library, now contains models for stochastic dividends.

Products on dividends, like options on non accrued Euro Stoxx 50 dividends, were actively promoted by Eurex for the two consecutive years. Indeed, the current crisis pushed derivatives towards simplicity in terms of payoff, meanwhile, introduced new underlyings. Dividend is one of them. Using stochastic dividends is not only recommended to price accurate option on dividends, but also to change prices on exotic dividend swaps with some barrier features.

Eric Benhamou, CEO of Pricing Partners, comments: “Models with stochastic behavior on dividends allows our client pricing options on dividends more accurately. Pricing Partners’ philosophy is to cope rapidly with product innovation and to continue to be the one stop valuation shop where one can price virtually anything.”

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