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List:       r-sig-finance
Subject:    [R-SIG-Finance] the dividend effect?
From:       Raghuraman Ramachandran <optionsraghu () gmail ! com>
Date:       2010-08-17 7:43:24
Message-ID: AANLkTinqO5TKaEDVTBLad0g8yBOBtyiYjW5xOU27ojcG () mail ! gmail ! com
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Hi

This is not an R-related question so pls excuse. If I am backtesting a
*completely
hedged* options portfolio then do I need to take dividends into
consideration? My understanding is that since dividend affects both the
calls and the underlier in a similar fashion then taking dividends also into
consideration for backtesting will skew the effects on the returns. Please
correct me if I am wrong?

Many thanks
Raghu

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