Valuing executive stock options: a quadratic approximation
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Publication:613458
DOI10.1016/J.EJOR.2010.06.041zbMATH Open1206.91081OpenAlexW2085119161MaRDI QIDQ613458FDOQ613458
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
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- AN APPROXIMATE BARRIER OPTION MODEL FOR VALUING EXECUTIVE STOCK OPTIONS
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Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)
Cites Work
- Title not available (Why is that?)
- Optimal exercise of executive stock options
- Title not available (Why is that?)
- A general framework for evaluating executive stock options
- The Valuation of Executive Stock Options in an Intensity-Based Framework *
- Title not available (Why is that?)
- Randomization and the American Put
- Derivative securities and difference methods.
- A class of options with stochastic lives and an extension of the Black-Scholes formula
Cited In (8)
- American-style Indexed Executive Stock Options
- AN APPROXIMATE BARRIER OPTION MODEL FOR VALUING EXECUTIVE STOCK OPTIONS
- THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS
- Valuation of a repriceable executive stock option
- 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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