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Options-pricing formula with disaster risk
Barro, Robert J.; Liao, Gordon Y. - 2016
Persistent link: https://www.econbiz.de/10011432216
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Optimal exercise prices for executive stock options
Hall, Brian J.; Murphy, Kevin James - 2000
Persistent link: https://www.econbiz.de/10001456284
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Stock options for undiversified executives
Hall, Brian J.; Murphy, Kevin James - 2000
Persistent link: https://www.econbiz.de/10001538228
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Valuing the reload features of executive stock options
Huddart{{}}, Steven; Jagannathan, Ravi; Saly, Jane - 1999
Persistent link: https://www.econbiz.de/10001376937
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Options-Pricing Formula with Disaster Risk
Barro, Robert J. - 2016
conforms with data from 1983 to 2015 on far-out-of-the-money put options on the U.S. S&P 500 and analogous indices for other … countries. The analysis uses two types of data—indicative prices on OTC contracts offered by a large financial firm and market … data provided by OptionMetrics, Bloomberg, and Berkeley Options Data Base. The options-pricing formula involves a …
Persistent link: https://www.econbiz.de/10013001208
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The Value of Stock Options to Non-Executive Employees
Hallock, Kevin F. - 2010
identified with data on multiple option grants per employee and we apply this model to the disposition of options received in the …
Persistent link: https://www.econbiz.de/10012761772
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Optimal Exercise Prices for Executive Stock Options
Hall, Brian J. - 2010
Although exercise prices for executive stock options can be set either below or above the grant-date market price, in practice virtually all options are granted at the money. We offer an economic rationale for this apparent puzzle, by showing that pay-to-performance incentives for risk-averse...
Persistent link: https://www.econbiz.de/10012763310
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Risk, Ambiguity, and the Exercise of Employee Stock Options
Izhakian, Yehuda (Yud) - 2014
We investigate the importance of ambiguity, or Knightian uncertainty, in executives' decisions about when to exercise stock options. We develop an empirical estimate of ambiguity and include it in regression models alongside the more traditional measure of risk, equity volatility. We show that...
Persistent link: https://www.econbiz.de/10013056862