Umberto Cherubini (Bologna University, Italy)

Title:  Implied Dividend Bounds in Option Prices: Anatomy of Two Markets

We propose a measure of uncertainty of a dividend paying asset based on the cross-section of bid-ask spreads of options. This is the difference between the cheapest synthetic long position of the asset that it is possible to construct using European options and  the most expensive short position that can be constructed at the same time for the same maturity.

For index and stock option applications this measure can be compared with other direct measures of uncertainty. We calibrate their model on a sample of two months real daily data for three stock indexes.