Question: Demonstrate, for a flat volatility surface with a single cash dividend at time T1 size D, that the subtractive dividend model correction to the

Demonstrate, for a flat volatility surface σ with a single cash dividend at time T1 size D, that the subtractive dividend model correction to the implied volatility is to first order independent of maturity for T > T1.

Derive an expression for the size of the volatility shift.

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