Many of the Financial Accounting Standards Board's current agenda items relate to measuring financial instruments' fair values, many of which have option-like characteristics. This study presents evidence on the potential practical applicability of using option pricing theory to account for one...

Current techniques employed in valuing multiple employee stock options issued by the same company treat each option as being independent of the others and do not reflect that the option values should be determined simultaneously. In this paper we develop a model to simultaneously value all...

We use simulation to assess the performance of conventional financial econometric methods in recovering accurate estimates of market risk premia. In this study, we focus particular attention on the properties of standard cross-sectional risk premium estimation methods using portfolios and make...

Current U.S. law nets the total portfolio of realized capital gains and losses to compute capital gains taxes. Prior research, however, typically ignores the implication of this provision, i.e., the marginal tax rate for a specific gain or loss depends on the taxpayer's total portfolio of...