Pricing of a reload employee stock option under severance risk

DOI10.1080/14697688.2010.490560MaRDI QIDQ5300447zbMATH OpenOpenAlexFDO

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

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)

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

Cites work

• The Valuation of Executive Stock Options in an Intensity-Based Framework *
• The pricing of options and corporate liabilities
• 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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