Pricing of a reload employee stock option under severance risk

DOI10.1080/14697688.2010.490560zbMATH Open1266.91105OpenAlexW2143626867MaRDI QIDQ5300447FDOQ5300447

Authors: Jun Ma 

Publication date: 27 June 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.490560

Recommendations

• VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH
• Valuing employee reload options under the time vesting requirement
• Valuing reload options
• Optimal multiple stopping models of reload options and shout options
• Utility indifference pricing of ESO with reload terms

zbMATH Keywords

asset pricingapplied mathematical financeapplied financearbitrage relationship

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• The pricing of options and corporate liabilities
• The Valuation of Executive Stock Options in an Intensity-Based Framework *
• Valuing employee reload options under the time vesting requirement

Cited In (9)

• Utility indifference pricing of ESO with reload terms
• VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH
• Valuing employee reload options under the time vesting requirement
• Optimal multiple stopping models of reload options and shout options
• On buybacks, dilutions, dividends, and the pricing of stock‐based claims
• Valuation of a repriceable executive stock option
• Pricing executive stock options under employment shocks
• ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
• Valuing reload options

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