Purpose – The purpose of this paper is to estimate the cost of granting executive stocks with strike prices adjusted by the cost of capital. Design/methodology/approach – In the paper a Monte Carlo simulation approach developed in Longstaff and Schwartz is used in conjunction with the...

This thesis examines the linkages between the bank bill market and the bank bill futures market in New Zealand using intraday data. The thesis is motivated primarily by the dearth of research on inter-market linkages in interest rate markets using high frequency data.The thesis examines four...