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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
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Modifying the Black-Scholes-Merton model to calculate the cost of employee stock options
Finnerty, John D. - In: Managerial Finance 40 (2014), 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/10010727919
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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
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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
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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
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Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach
Castillo, Augusto - In: Latin American Journal of Economics-formerly Cuadernos … 41 (2004) 124, pp. 345-360
This paper analyzes corporate bond valuation of a straight bond, and the convertibility feature, when interest rates …
Persistent link: https://www.econbiz.de/10005510176
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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
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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
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Controlling for biases in primary valuation studies: A meta-analysis of international coral reef values
Abdullah, Sabah; Rosenberger, Randall S. - 2012
This paper updates the existing meta-analysis in coral reef recreation taking into account the previous work of Brander et al. (2007) but considering some stated preference biases and/or effects. The present meta-analysis uses twice the number of observations as the previous one and sheds more...
Persistent link: https://www.econbiz.de/10010294319
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Option-Style Multi-Factor Comparable Company Valuation for Practical Use
Meitner, Matthias - 2003
Classical single-factor comparable company valuation (CCV) like e.g. valuation using the price-earnings ratio is …
Persistent link: https://www.econbiz.de/10010297342