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

DOI10.1080/14697680500116957MaRDI QIDQ5697334zbMATHOpenAlexFDO

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

Mathematics Subject Classification ID

Recommendations

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Cites work

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• scientific article; zbMATH DE number 916420 (Why is no real title available?)
• Optimal Hedging and Valuation of Nontraded Assets
• Real options with constant relative risk aversion
• The Valuation of Executive Stock Options in an Intensity-Based Framework *
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION

Cited in

(18)

• Perpetual American options in incomplete markets: the infinitely divisible case
• VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH
• scientific article; zbMATH DE number 5260087 (Why is no real title available?)
• Pricing executive stock options under employment shocks
• The effect of option granting on executive stock purchases
• UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES
• Employee stock options: an up-and-out protected barrier call
• Risk aversion and block exercise of executive stock options
• Performance regularity: a new class of executive compensation packages
• A general framework for evaluating executive stock options
• Information-based stock trading, executive incentives, and the principal-agent problem
• Indifference prices and implied volatilities
• Exponential utility indifference valuation in two Brownian settings with stochastic correlation
• The value of being lucky: option backdating and nondiversifiable risk
• A multidimensional exponential utility indifference pricing model with applications to counterparty risk
• ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
• On managerial risk-taking incentives when compensation may be hedged against
• Portfolios of American options under general preferences: results and counterexamples

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