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Variance risk, financial intermediation, and thecross-section of expected option returns
Schürhoff, Norman; Ziegler, Alexandre - Institut für Schweizerisches Bankwesen <Zürich> - 2011
We explore the pricing of variance risk by decomposing stocks' total variance into systematicand idiosyncratic return variances. While systematic variance risk exhibits a negative priceof risk, common shocks to the variances of idiosyncratic returns carry a large positive riskpremium. This...
Persistent link: https://www.econbiz.de/10009354100
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Stock Options and Managers Incentives to cheat
Chesney, Marc; Gibson-Asne, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2006
We develop a continuous-time real options pricing model to study managers’incentives to cheat in the presence of equity …-based compensation policies.We show that managers’ incentives to cheat are strongly influenced by theefficiency of the justice. Our model …’s main result is that managers havegreater incentives to misreport with stock options than with common stocks.We finally …
Persistent link: https://www.econbiz.de/10005857972
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Executive Compensation and Analyst Guidance : The Link between CEO Pay and Expectations Management
Bolliger, Guido; Kast, Manuel - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
preservation or enhancementof short term stock value around the earnings announcement has become a priority for managers …
Persistent link: https://www.econbiz.de/10005858100
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Pricing American currency options in an exponential Lvi model,
Chesney, Marc; Jeanblanc, M. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
In this article the problem of the American option valuation in a L´vy process setting is analyzed. The perpetual case is first considered. Without possible discontinuities (i.e. with negative jumps inthe call case), known results concerning the currency option value as well as the exercise...
Persistent link: https://www.econbiz.de/10005858119
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American Parisian Options
Chesney, Marc; Gauthier, Laurent - Institut für Schweizerisches Bankwesen <Zürich> - 2006
In this article, we describe the various sorts of American Parisian options and propose valuation formulae. Although there is no closed-form valuation for these products in the non perpetual case, we have been able to reformulate their price as a function of the exercise frontier. In the...
Persistent link: https://www.econbiz.de/10005858581