We study an option pricing framework that accounts for the price impact of an earnings announcement (EA), and analyze the behavior of the implied volatility surface prior to the event. On each known announcement date, we introduce a random jump to the stock price. Applying this idea to extend...

Employee stock options (ESOs) are American-style call options that can be terminated early due to employment shock. This paper studies an ESO valuation framework that accounts for job termination risk and jumps in the company stock price. Under general Levy stock price dynamics, we show that a...

This paper studies the problem of understanding implied volatilities from options written on leveraged exchanged-traded funds (LETFs), with an emphasis on the relations between LETF options with different leverage ratios. We first examine from empirical data the implied volatility skews for LETF...

"Adopting a unique approach that combines stochastic modeling and control techniques with option pricing theory Demonstrating formulas and numerical schemes for fast implementation and clear illustration Presenting unique perspectives such as taking into account both the employee's risk aversion...

We propose a new framework to value employee stock options (ESOs) that captures multiple exercises of different quantities over time. We also model the ESO holder's job termination risk and incorporate its impact on the payoffs of both vested and unvested ESOs. Numerical methods based on Fourier...