Valuing reload options

DOI10.1007/S11147-006-9005-ZMaRDI QIDQ375530zbMATH OpenOpenAlexFDO

Authors Jonathan E. jun. Ingersoll

Publication date 31 October 2013

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-006-9005-z

zbMATH Keywords

exoctic optionsincentive optionsreload options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH
• Valuing employee reload options under the time vesting requirement
• Pricing of a reload employee stock option under severance risk
• A general framework for evaluating executive stock options
• Optimal multiple stopping models of reload options and shout options

Cited in

(5)

• Utility indifference pricing of ESO with reload terms
• Pricing of a reload employee stock option under severance risk
• VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH
• Valuing employee reload options under the time vesting requirement
• Infinite reload options: pricing and analysis

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