The value of being lucky: option backdating and nondiversifiable risk
DOI10.1142/S0219024921500230zbMATH Open1470.91277OpenAlexW3183353063MaRDI QIDQ5010076FDOQ5010076
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
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American optionsutility indifference pricingexecutive stock optionslookback optionsoption backdating
Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
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- Title not available (Why is that?)
- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
- The Mathematics of Financial Derivatives
- A general framework for evaluating executive stock options
- An example of indifference prices under exponential preferences
- American fractional lookback options: valuation and premium decomposition
- American Options with Lookback Payoff
- Valuing the option to invest in an incomplete market
- Pricing early exercise contracts in incomplete markets
- Risk aversion and block exercise of executive stock options
- Exercise Regions And Efficient Valuation Of American Lookback Options
- Backdating executive stock options -- an ex ante valuation
- Portfolios of American options under general preferences: results and counterexamples
- ESO Valuation with Job Termination Risk and Jumps in Stock Price
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