Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/304218 
Year of Publication: 
2023
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 11 [Issue:] 2 [Article No.:] 2260658 [Year:] 2023 [Pages:] 1-20
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
In this paper, a simple no-arbitrage methodology to estimate option-implied interest rates and dividend yields simultaneously via a regression model is employed. Since the mean-based least squares estimation places equal weights on all data points making it sensitive to outliers, a robust median-based estimation approach is proposed. The proposed methodology is only valid for European options; consequently, an empirical analysis is conducted on options on the S & P 500 Index. Robust forward-looking model-free estimates of the risk-free interest rate and dividend yield, based exclusively on market prices of options, are thus obtained.
Subjects: 
box spread
implied dividend yield
implied interest rates
no-arbitrage
option-implied
repeated median
risk-free rate
sloped asset position
Theil-Sen
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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