THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS

DOI10.1017/S0269964817000316zbMath1426.91281OpenAlexW2744263752MaRDI QIDQ5242841

Xingchun Wang, Zhiwei Su, Guangli Xu

Publication date: 7 November 2019

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964817000316

zbMATH Keywords

GARCH modelsexecutive stock optionsdeparture riskendogenous departure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Pricing executive stock options under employment shocks
• A general framework for evaluating executive stock options
• The Valuation of Executive Stock Options in an Intensity-Based Framework *
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