Employee Stock Options: An Up-and-Out Protected Barrier Call

DOI10.1080/13504860902753251zbMath1178.91185OpenAlexW1996709366MaRDI QIDQ3652703

Neil Brisley, Chris K. Anderson

Publication date: 16 December 2009

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/1813/72453

zbMATH Keywords

employee stock optionsup-and-out protected barrier call

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Pricing and hedging power options
• The impact of the market portfolio on the valuation, incentives and optimality of executive stock options

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