AN APPROXIMATE BARRIER OPTION MODEL FOR VALUING EXECUTIVE STOCK OPTIONS

DOI10.15807/JORSJ.61.110MaRDI QIDQ4642058zbMATH OpenOpenAlexFDO

Authors Toshikazu Kimura

Publication date 18 May 2018

Published in Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL https://doi.org/10.15807/jorsj.61.110

zbMATH Keywords

barrier optionendogenous approximationexecutive stock optionsfinancevaluation

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• A new executive stock option pricing model
• Barrier option pricing formulas of an uncertain stock model
• Valuing executive stock options: a quadratic approximation
• Pricing barrier stock options with discrete dividends by approximating analytical formulae
• Barrier option pricing of mean-reverting stock model in uncertain environment
• THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS
• An actuarial approach to pricing barrier options
• Barrier option pricing when parameters dependent on stock price
• Barrier option pricing: a hybrid method approach
• Pricing external barrier options under a stochastic volatility model

Cited in

(5)

• The Valuation of Executive Stock Options in an Intensity-Based Framework *
• Employee stock options: an up-and-out protected barrier call
• American-style Indexed Executive Stock Options
• Executive stock option exercise with full and partial information on a drift change point
• Valuing executive stock options: a quadratic approximation

This page was built for publication: AN APPROXIMATE BARRIER OPTION MODEL FOR VALUING EXECUTIVE STOCK OPTIONS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4642058)