THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS

DOI10.1017/S0269964817000316MaRDI QIDQ5242841zbMATH OpenOpenAlexFDO

Authors Xingchun Wang, Zhiwei Su, Guangli Xu

Publication date 7 November 2019

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0269964817000316

zbMATH Keywords

departure riskendogenous departureexecutive stock optionsGARCH models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A general framework for evaluating executive stock options
• scientific article; zbMATH DE number 3549968 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Pricing executive stock options under employment shocks
• The Valuation of Executive Stock Options in an Intensity-Based Framework *

Cited in

(3)

• Are we using the wrong letters? An analysis of executive stock option Greeks
• AN APPROXIMATE BARRIER OPTION MODEL FOR VALUING EXECUTIVE STOCK OPTIONS
• Pricing executive stock options under employment shocks

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