Valuation of a repriceable executive stock option

DOI10.1007/S10690-009-9096-2zbMath1201.91194OpenAlexW2118374297MaRDI QIDQ2268392

Masahiro Ishii, Takahiko Fujita

Publication date: 8 March 2010

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-009-9096-2

zbMATH Keywords

stock priceoption pricing theorystock market indexexecutive stock optionrepricing exercise price

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• On the pricing of defaultable bonds using the framework of barrier options
• A complete-market generalization of the Black-Scholes model
• Exact solutions of a model for asset prices by K. Takaoka
• A note on the joint distribution of \(\alpha, \beta \)-percentiles and its application to the option pricing
• Martingales and stochastic integrals in the theory of continuous trading
• Edokko options: a new framework of barrier options
• Some formulae for a new type of path-dependent option
• A new control variate estimator for an Asian option
• Double Lookbacks

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