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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
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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
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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
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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
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The Cost of Employee Stock Options
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
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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
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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
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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
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Estimating the Cost of Executive Stock Options: Evidence from Switzerland
Drobetz, Wolfgang; Pensa, Pascal; Schmid, Markus M. - 2007
and growth opportunities, whereas the managers' pay-forperformance sensitivity remains largely unexplained. Firms with …
Persistent link: https://www.econbiz.de/10011390621
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Private information in executives' option trades: Evidence from the UK
Kyriacou, Kyriacos; Luintel, Kul B.; Mase, Bryan - 2008
UK executives' stock option exercises and associated sell decisions are motivated by private, inside, information. Executives use their inside information to lock in short-term gains, and to sell stock acquired prior to negative abnormal stock returns. This informed trading is robust to the...
Persistent link: https://www.econbiz.de/10010322777