Valuation of a repriceable executive stock option

DOI10.1007/S10690-009-9096-2MaRDI QIDQ2268392zbMATH OpenOpenAlexFDO

Authors Takahiko Fujita, Masahiro Ishii

Publication date 8 March 2010

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-009-9096-2

zbMATH Keywords

executive stock optionoption pricing theoryrepricing exercise pricestock market indexstock price

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A complete-market generalization of the Black-Scholes model
• A new control variate estimator for an Asian option
• A note on the joint distribution of \(\alpha, \beta \)-percentiles and its application to the option pricing
• Double lookbacks
• Edokko options: a new framework of barrier options
• Exact solutions of a model for asset prices by K. Takaoka
• scientific article; zbMATH DE number 947803 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 3046362 (Why is no real title available?)
• Martingales and stochastic integrals in the theory of continuous trading
• On the pricing of defaultable bonds using the framework of barrier options
• Some formulae for a new type of path-dependent option
• The pricing of options and corporate liabilities

Cited in

(4)

• A general framework for evaluating executive stock options
• On the valuation of non-transferable employee share option plans
• A new executive stock option pricing model
• The value of being lucky: option backdating and nondiversifiable risk

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