The value of being lucky: option backdating and nondiversifiable risk

DOI10.1142/S0219024921500230MaRDI QIDQ5010076zbMATHOpenAlexFDO

Authors Vicky Henderson, Jia Sun, A. Elizabeth Whalley

Publication date 24 August 2021

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024921500230

zbMATH Keywords

American optionsutility indifference pricingexecutive stock optionslookback optionsoption backdating

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 5529013 (Why is no real title available?)
• A general framework for evaluating executive stock options
• ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
• American Options with Lookback Payoff
• American fractional lookback options: valuation and premium decomposition
• An example of indifference prices under exponential preferences
• Backdating executive stock options -- an ex ante valuation
• ESO valuation with job termination risk and jumps in stock price
• Exercise Regions And Efficient Valuation Of American Lookback Options
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolios of American options under general preferences: results and counterexamples
• Pricing early exercise contracts in incomplete markets
• Risk aversion and block exercise of executive stock options
• The Mathematics of Financial Derivatives
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• Valuing the option to invest in an incomplete market

Cited in

(1)

• Backdating executive stock options -- an ex ante valuation

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