Are we using the wrong letters? An analysis of executive stock option Greeks
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Publication:301203
DOI10.1007/s10100-013-0287-6zbMath1339.91135OpenAlexW2038763842MaRDI QIDQ301203
Publication date: 30 June 2016
Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10100-013-0287-6
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)
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Cites Work
- The Pricing of Options and Corporate Liabilities
- A general framework for evaluating executive stock options
- The Valuation of Executive Stock Options in an Intensity-Based Framework *
- ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
- Estimation of Dynamic Models with Error Components
- Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
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