Similar Search Results

Raupach, Peter - 2003

This paper determines the cost of employee stock options (ESOs) to shareholders. I present a pricing method that seeks to replicate the empirics of exercise and cancellation as good as possible. In a first step, an intensity-based pricing model of El Karoui and Martellini is adapted to the needs...

Persistent link: https://www.econbiz.de/10010316271

The Valuation of Employee Stock Options - How Good Is the Standard?

Raupach, Peter - 2003

This study contributes to the valuation of employee stock options (ESO) in two ways: First, a new pricing model is presented, admitting a major part of calculations to be solved in closed form. Designed with a focus on good replication of empirics, the model fits with publicly observable...

Persistent link: https://www.econbiz.de/10010316309

Uniform confidence bands for pricing kernels

Härdle, Wolfgang Karl; Okhrin, Yarema; Wang, Weining - 2010

Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk-neutral density estimator and the subjective density estimator. The...

Persistent link: https://www.econbiz.de/10010270732

Updating the Option Implied Probability of Default Methodology

Vilsmeier, Johannes - 2011

In this paper we 'update' the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second, it is...

Persistent link: https://www.econbiz.de/10010294741

Closed formula for options with discrete dividends and its derivatives

Veiga, Carlos; Wystup, Uwe - 2008

We present a closed pricing formula for European options under the Black-Scholes model and formulas for its partial derivatives. The formulas are developed making use of Taylor series expansions and by expressing the spatial derivatives as expectations under special measures, as in Carr,...

Persistent link: https://www.econbiz.de/10010301703

Cross-sectional analysis of risk-neutral skewness

Taylor, Stephen J.; Yadav, Pradeep K.; Zhang, Yuanyuan - 2009

We investigate the association of various firm-specific and market-wide factors with the riskneutral skewness (RNS) implied by the prices of individual stock options. Our analysis covers 149 U.S. firms over a four-year period. Our choice of firms is based on adequate liquidity and trading...

Persistent link: https://www.econbiz.de/10010302552

Stock Options as Incentive Contract and Dividend Policy

Gillenkirch, Robert M.; Arnold, Markus C. - 2002

dividend protected, i.e. any dividend payout decreases the value of a manager’s options. Empirical evidence shows that this …

Persistent link: https://www.econbiz.de/10010316277

How to Avoid Compensating CEO for Luck: The Case of Microeconomic Fluctuations

Oxelheim, Lars; Wihlborg, Clas; Zhang, Jianhua - 2010

Incentive effects of performance-based compensation schemes for management may be weakened or biased by macroeconomic influences on remuneration. These influences can be seen as reflecting luck from the CEO's perspective. In this chapter we present a model for how to avoid compensating CEO for...

Persistent link: https://www.econbiz.de/10010320333

Aktienkursorientierte Management-Entlohnung: Ein Wettbewerbshemmnis im Boom?

Neubecker, Leslie - 2001

In the recent research on the effect of stock-based incentive compensation for managers on the degree of collusion … expectations of future demand change over time, managers with stock-based remuneration still have a greater incentive to collude … competition over time. If demand is stochastic, managers can set higher collusive prices in recessions. If demand follows a …

Persistent link: https://www.econbiz.de/10010305014

Aktienkursorientierte Management-Entlohnung bei korrelierter Entwicklung der Marktnachfrage

Neubecker, Leslie - 2002

changes stochastically between a high and low growth rate, managers with undeferred stock-based remuneration set prices weakly … procyclically with positive and weakly anticyclically with negative correlation. Deferred compensation induces managers to collude …

Persistent link: https://www.econbiz.de/10010305065