A general framework for evaluating executive stock options

DOI10.1016/J.JEDC.2006.07.004MaRDI QIDQ1027368zbMATH OpenOpenAlexFDO

Authors Ronnie Sircar, Wei Xiong

Publication date 1 July 2009

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2006.07.004

zbMATH Keywords

American styleexecutive stock optionsreloadrepricingvesting period

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• A barrier option of American type
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• Randomization and the American put
• The impact of the market portfolio on the valuation, incentives and optimality of executive stock options
• The Mathematics of Financial Derivatives
• The valuation of American barrier options using the decomposition technique

Cited in

(24)

• Optimal exercise of executive stock options
• Non-transferable non-hedgeable executive stock option pricing
• Performance regularity: a new class of executive compensation packages
• Valuation of a repriceable executive stock option
• Risk aversion and block exercise of executive stock options
• Asset markets with insider trading disclosure rule and reselling constraint: an experimental analysis
• Strategic real options
• The Valuation of Executive Stock Options in an Intensity-Based Framework *
• Are we using the wrong letters? An analysis of executive stock option Greeks
• Optimal exercise of an executive stock option by an insider
• On the valuation of non-transferable employee share option plans
• A new executive stock option pricing model
• ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
• Valuing reload options
• The effect of option granting on executive stock purchases
• American-style Indexed Executive Stock Options
• The value of being lucky: option backdating and nondiversifiable risk
• A top-down approach for the multiple exercises and valuation of employee stock options
• THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS
• The equivalence between block exercise and unrestricted exercise of executive stock options
• Valuing executive stock options: a quadratic approximation
• Mean–variance hedging of contingent claims with random maturity
• Pricing executive stock options under employment shocks
• Backdating executive stock options -- an ex ante valuation

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