A recent paper (Benninga-Protopapadakis 1994) considered a Lucas asset pricing model and showed that the pricing of forward and futures contracts was expressible as a simple matrix function. In this paper we derive limiting conditions for these differences and relate them to the eigenvectors of...

Purpose – This paper aims to derive firm value implications for various kinds of employee stock options (ESOs) in a framework that considers uncertainty, non‐diversification and the US statutory tax treatment. Design/methodology/approach – The authors extend the analysis of ESOs from the...