Valuing executive stock options: a quadratic approximation

DOI10.1016/j.ejor.2010.06.041zbMath1206.91081OpenAlexW2085119161MaRDI QIDQ613458

Toshikazu Kimura

Publication date: 20 December 2010

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2010.06.041

zbMATH Keywords

financevaluationquadratic approximationexecutive stock optionsESO

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Optimal exercise of executive stock options
• A general framework for evaluating executive stock options
• A class of options with stochastic lives and an extension of the Black-Scholes formula
• Derivative securities and difference methods.
• The Valuation of Executive Stock Options in an Intensity-Based Framework *
• Randomization and the American Put
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