Pricing of a reload employee stock option under severance risk

DOI10.1080/14697688.2010.490560zbMath1266.91105OpenAlexW2143626867MaRDI QIDQ5300447

Jun Ma

Publication date: 27 June 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.490560

zbMATH Keywords

asset pricingapplied mathematical financeapplied financearbitrage relationship

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• The Pricing of Options and Corporate Liabilities
• The Valuation of Executive Stock Options in an Intensity-Based Framework *
• Valuing employee reload options under the time vesting requirement

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