Pricing executive stock options under employment shocks

DOI10.1016/J.JEDC.2010.08.002zbMath1232.91651OpenAlexW1985208035MaRDI QIDQ622240

Julio Carmona, Antoni Vaello-Sebastià, Angel León

Publication date: 31 January 2011

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2010.08.002

zbMATH Keywords

risk aversionincentivesexecutive stock optionsFAS123Rundiversification

Mathematics Subject Classification ID

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

Related Items (4)

Non-transferable non-hedgeable executive stock option pricing ⋮ A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS ⋮ Backdating executive stock options -- an ex ante valuation ⋮ THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS

Cites Work

• Unnamed Item
• 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
• The impact of the market portfolio on the valuation, incentives and optimality of executive stock options

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