Narrow search
Showing 1 - 10 of 393
Cover Image
Modifying the Black-Scholes-Merton model to calculate the cost of employee stock options
Finnerty, John D. - In: Managerial finance 40 (2014) 1, pp. 2-32
Persistent link: https://www.econbiz.de/10010252122
Cover Image
Modifying the Black-Scholes-Merton model to calculate the cost of employee stock options
D. Finnerty, John - In: Managerial Finance 40 (2014) 1, pp. 2-32
Purpose – More than 80 percent of S&P 500 firms that issue ESOs use the Black-Scholes-Merton (BSM) model and substitute … overprices ESOs, which worsens as the stock's volatility increases. The purpose of this paper is to present a modification of the … grants and 1.31 billion ESOs to calculate the exercise and forfeiture parameters and value ESOs for nine firms. Findings …
Persistent link: https://www.econbiz.de/10014941948
Cover Image
Using options to measure the full value-effect of an event : application to Obamacare
Borochin, Paul; Golec, Joseph - In: Journal of financial economics 120 (2016) 1, pp. 169-193
Persistent link: https://www.econbiz.de/10011590075
Cover Image
IMPLEMENTATION OF MONTE CARLO METHOD IN OPTION VALUATION USING STATISTICAL PROGRAMMING LANGUAGE R
Vasylchenko I. - In: Вісник Киiвського … (2011) 3, pp. 43-46
Автором детально рассмотрено теорию метода Монте Карло и проведено еепрактическую реализацию средствами статистического программного языка R для европейских...
Persistent link: https://www.econbiz.de/10011234439
Cover Image
Anchoring bias in the TARP warrant negotiations
Wilson, Linus - In: Journal of Economics and Business 64 (2012) 1, pp. 63-76
This paper finds that banks that offered lower opening bids were rewarded with significantly lower warrant repurchase prices in transactions that raised $2.856 billion in 2009. These results were scaled by third-party consultants’ and the Congressional Oversight Panel's estimates of the...
Persistent link: https://www.econbiz.de/10010599712
Cover Image
Valuing intellectual capital using game theory
Chen, Stephen - In: Journal of Intellectual Capital 4 (2003) 2, pp. 191-201
difficult to link to stock market valuations and to business strategy. This paper illustrates how options theory and game theory …
Persistent link: https://www.econbiz.de/10014875297
Cover Image
Option valuation: key issues in option pricing
Hewett, Thomas; Igolnikov, Roman - In: Balance Sheet 8 (2000) 4, pp. 11-16
In this paper we attempt to address, in a non‐technical way, the basic assumptions underlying option pricing theory and point out some of the inherent weaknesses they imply in the reliability of the resulting valuations. We present several concrete examples to illustrate the impact of the...
Persistent link: https://www.econbiz.de/10014689045
Cover Image
Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts
Haas, Markus; Mittnik, Stefan; Mizrach, Bruce - 2005
options and the underlying exchange rates provide useful information for policy makers. …
Persistent link: https://www.econbiz.de/10010298266
Cover Image
Option Introduction and Liquidity Changes in the OTC/NASDAQ Equity Market
Fortin, Rich; Maese, Judy - In: Journal of Small Business Finance 2 (1992) 1, pp. 39-52
This paper examines the impact of option listing in the NASDAQ equity market on the bid-ask spread of the underlying stock. We find that both the market adjusted percentage and dollar spreads decrease with option listing, which is consistent with a value enhancing impact of derivative security...
Persistent link: https://www.econbiz.de/10011310309
Cover Image
Capital structure and financial flexibility: Expectations of future shocks
Lambrinoudakis, Costas; Neumann, Michael; Skiadopoulos, … - 2014
equity options. We find that expectations for future shocks decrease leverage and are statistically significant even when we …
Persistent link: https://www.econbiz.de/10011380992