A general framework for evaluating executive stock options

DOI10.1016/j.jedc.2006.07.004zbMath1163.91423OpenAlexW3124213796MaRDI QIDQ1027368

Wei Xiong, Ronnie Sircar

Publication date: 1 July 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2006.07.004

zbMATH Keywords

executive stock optionsAmerican stylereloadrepricingvesting period

Mathematics Subject Classification ID

Related Items (14)

Are we using the wrong letters? An analysis of executive stock option Greeks ⋮ Non-transferable non-hedgeable executive stock option pricing ⋮ Valuing executive stock options: a quadratic approximation ⋮ Pricing executive stock options under employment shocks ⋮ Mean–variance hedging of contingent claims with random maturity ⋮ A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS ⋮ Backdating executive stock options -- an ex ante valuation ⋮ Risk aversion and block exercise of executive stock options ⋮ ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS ⋮ Asset markets with insider trading disclosure rule and reselling constraint: an experimental analysis ⋮ OPTIMAL EXERCISE OF AN EXECUTIVE STOCK OPTION BY AN INSIDER ⋮ Strategic real options ⋮ THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS ⋮ THE VALUE OF BEING LUCKY: OPTION BACKDATING AND NONDIVERSIFIABLE RISK

Cites Work

• The valuation of American barrier options using the decomposition technique
• A barrier option of American type
• The Mathematics of Financial Derivatives
• Randomization and the American Put
• The impact of the market portfolio on the valuation, incentives and optimality of executive stock options
• Unnamed Item

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