Drobetz, Wolfgang; Pensa, Pascal; Schmid, Markus M. - Wirtschaftswissenschaftliches Zentrum <Basel> - 2007
It is often argued that Black-Scholes (1973) values overstate the subjective value of stock options granted to risk-averse and under-diversified executives. We construct a "representative" Swiss executive and extend the certainty-equivalence approach presented by Hall and Murphy (2002) to assess...