Similar Search Results

A matrix-based lattice model to value employee stock options

Bajaj, Mukesh; Mazumdar, Sumon C.; Surana, Rahul; Unni, … - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 9-26

Persistent link: https://www.econbiz.de/10003379099

Implizite Volatilitäten von Eurex Optionen : eine empirische Untersuchung zur Fair Value Ermittlung von OTC Aktienoptionen auf Basis der impliziten Volatilität von Eurex Aktienopti...

Spindler, Oliver - In: Beiträge zu aktuellen Finanzmarktthemen : Bondholder …, (pp. 191-311). 2007

Persistent link: https://www.econbiz.de/10003477333

Pricing executive stock options under employment shocks

Carmona Martínez, Julio; León Valle, Ángel Manuel; … - 2009

Persistent link: https://www.econbiz.de/10003914083

Employee stock options : an up-and-out protected barrier call

Anderson, Chris K.; Brisley, Neil - In: Applied mathematical finance 16 (2009) 3/4, pp. 347-352

Persistent link: https://www.econbiz.de/10003916197

Cross-sectional analysis of risk-neutral skewness

Taylor, Stephen; Yadav, Pradeep; 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...