The impact of the market portfolio on the valuation, incentives and optimality of executive stock options

DOI10.1080/14697680500116957zbMATH Open1118.91323OpenAlexW2078038684MaRDI QIDQ5697334FDOQ5697334

Authors: Vicky Henderson 

Publication date: 17 October 2005

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

Full work available at URL: https://doi.org/10.1080/14697680500116957

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Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• The Valuation of Executive Stock Options in an Intensity-Based Framework *
• Optimal Hedging and Valuation of Nontraded Assets
• Real options with constant relative risk aversion
• Title not available (Why is that?)

Cited In (14)

• Risk aversion and block exercise of executive stock options
• VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH
• INDIFFERENCE PRICES AND IMPLIED VOLATILITIES
• Portfolios of American options under general preferences: results and counterexamples
• Title not available (Why is that?)
• A general framework for evaluating executive stock options
• Pricing executive stock options under employment shocks
• On managerial risk-taking incentives when compensation may be hedged against
• ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
• A multidimensional exponential utility indifference pricing model with applications to counterparty risk
• Employee stock options: an up-and-out protected barrier call
• UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES
• Exponential utility indifference valuation in two Brownian settings with stochastic correlation
• Perpetual American options in incomplete markets: the infinitely divisible case

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