Valuing executive stock options: a quadratic approximation

DOI10.1016/J.EJOR.2010.06.041MaRDI QIDQ613458zbMATH OpenOpenAlexFDO

Authors Toshikazu Kimura

Publication date 20 December 2010

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2010.06.041

zbMATH Keywords

financevaluationexecutive stock optionsquadratic approximationESO

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Recommendations

• AN APPROXIMATE BARRIER OPTION MODEL FOR VALUING EXECUTIVE STOCK OPTIONS
• The Valuation of Executive Stock Options in an Intensity-Based Framework *
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• Optimal exercise of executive stock options

Cites work

• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A class of options with stochastic lives and an extension of the Black-Scholes formula
• A general framework for evaluating executive stock options
• Derivative securities and difference methods.
• Optimal exercise of executive stock options
• Randomization and the American put
• The Valuation of Executive Stock Options in an Intensity-Based Framework *

Cited in

(10)

• American-style Indexed Executive Stock Options
• AN APPROXIMATE BARRIER OPTION MODEL FOR VALUING EXECUTIVE STOCK OPTIONS
• Are we using the wrong letters? An analysis of executive stock option Greeks
• THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS
• Valuation of a repriceable executive stock option
• Non-transferable non-hedgeable executive stock option pricing
• A general framework for evaluating executive stock options
• Pricing executive stock options under employment shocks
• Backdating executive stock options -- an ex ante valuation
• The Valuation of Executive Stock Options in an Intensity-Based Framework *

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