Finding Dividend and Repo Inputs for Equity Option Pricing

Summary

The document explains where practitioners can obtain dividend and repo assumptions when pricing vanilla equity options. It identifies broker quotes or contract terms as sources for repo rates, noting that the standard rate may apply when the underlying is not subject to special financing. Dividend estimates may come from a dividend data service, dividend futures, or values implied by put-call parity.

It also distinguishes these inputs from volatility, which the question describes as implied from a market options panel, and points to the chosen discounting or funding curve as the source for risk-free rates. The discussion is practical guidance rather than a full pricing procedure: it gives no data-provider comparison, calculation details, or empirical validation. Inputs can depend on the underlying, funding arrangements, and market conventions, so the listed sources should be understood as alternatives to check rather than a single universal recipe.

Key ideas

• Repo rates can be obtained from broker quotes or the applicable contract terms.
• Dividend assumptions can be estimated from dividend services, dividend futures, or put-call parity.
• The discounting or funding curve supplies the relevant risk-free rate.
• Market implied volatility and financing inputs are obtained from different sources.

Tags

# Practical equity options pricing


# Practical equity options pricing












To price a vanilla option, the following information are required :

- Strike price;

- Underlying price;

- Volatility;

- Maturity;

- Dividends rate;

- Repo rate;

- Interest rate;

The strike, underlying price, maturity, Interest rates are known;

The volatility is implied from an options panel in the market;

But practically, where do we get the dividends and repo rates from ?

Thank you

## Answer by Brian B (score 3)

https://quant.stackexchange.com/a/10356

You get the repo rate from asking your broker. Most of the time the underlying is not on "special" so you get whatever standard rate appears in your contract. You obtain dividends from BDVD or a similar service.

## Answer by experquisite (score 1)

https://quant.stackexchange.com/a/10369

For dividends, you could pull the info from dividend futures, or use the implied dividends backed out via put-call parity. Risk-free rates you can get from whatever yield curve you are using for discounting, or more generally (as Raphael mentioned) using whatever your specific funding curve is.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.