Valuation of employee stock options using the exercise multiple approach and life tables

DOI10.1016/j.insmatheco.2015.12.009zbMath1369.91182OpenAlexW379579888MaRDI QIDQ320251

Tobias Bienek, Timothy Kyng, Otto Konstandatos

Publication date: 6 October 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://www.uts.edu.au/sites/default/files/qfr-archive-03/QFR-rp355.pdf

zbMATH Keywords

method of imagesemployee stock optionsexercise multiplefinancial reporting standardslife and multiple decrement tablespartial-time barrier options

Mathematics Subject Classification ID

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

Related Items

THE OPTIMAL EXECUTION STRATEGY OF EMPLOYEE STOCK OPTIONS

Uses Software

• QSIMVN

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Martingales and stochastic integrals in the theory of continuous trading
• Valuing equity-linked death benefits and other contingent options: a discounted density approach
• The pricing of dual-expiry exotics
• Stochastic Life Annuities
• Fitting combinations of exponentials to probability distributions
• Option pricing: A simplified approach
• A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries