Carmona, Julio; León, Angel; Vaello-Sebastià, Antoni - In: European Journal of Operational Research 223 (2012) 1, pp. 188-202
Executive Stock Options (ESOs) are modified American options that cannot be valued using standard methods. With a few exceptions, the literature has discussed the ESO fair value by assuming unpredictable stock returns which are not supported by the available empirical evidence. In this paper we...