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Non-transferable non-hedgeable executive stock option pricing
Colwell, David B.; Feldman, David; Hu, Wei - In: Journal of economic dynamics & control 53 (2015), pp. 161-191
Persistent link: https://www.econbiz.de/10011526925
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Learning and forecasts about option returns through the volatility risk premium
Bernales, Alejandro; Chen, Louisa; Valenzuela, Marcela - In: Journal of economic dynamics & control 82 (2017), pp. 312-330
Persistent link: https://www.econbiz.de/10011915574
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High-frequency volatility modeling : A Markov-Switching Autoregressive Conditional Intensity model
Li, Yifan; Nolte, Ingmar; Nolte, Sandra - In: Journal of economic dynamics & control 124 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012666459
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Optimal multiple stopping models of reload options and shout options
Dai, Min; Kwok, Yue-Kuen - In: Journal of economic dynamics & control 32 (2008) 7, pp. 2269-2290
Persistent link: https://www.econbiz.de/10003732924
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A general framework for evaluating executive stock options
Sircar, Kaushik Ronnie; Xiong, Wei - In: Journal of economic dynamics & control 31 (2007) 7, pp. 2317-2349
Persistent link: https://www.econbiz.de/10003485116
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Backdating executive stock options : an ex ante valuation
Eikseth, Hans Marius; Lindset, Snorre - In: Journal of economic dynamics & control 35 (2011) 10, pp. 1731-1743
Persistent link: https://www.econbiz.de/10009307462
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Stock grants as a commitment device
Clementi, Gian Luca; Cooley, Thomas F.; Wang, Cheng - In: Journal of economic dynamics & control 30 (2006) 11, pp. 2191-2216
Persistent link: https://www.econbiz.de/10003389828
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Pricing executive stock options under employment shocks
Carmona, Julio; León Valle, Ángel Manuel; … - In: Journal of economic dynamics & control 35 (2011) 1, pp. 97-114
Persistent link: https://www.econbiz.de/10009127683
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Computation of Greeks using binomial trees in a jump-diffusion model
Suda, Shintaro; Muroi, Yoshifumi - In: Journal of economic dynamics & control 51 (2015), pp. 93-110
Persistent link: https://www.econbiz.de/10011474273
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It only takes a few moments to hedge options
Barletta, Andrea; Santucci de Magistris, Paolo; Sloth, David - In: Journal of economic dynamics & control 100 (2019), pp. 251-269
Persistent link: https://www.econbiz.de/10012130971