Employee Reload Options: Pricing, Hedging, and Optimal Exercise
نویسندگان
چکیده
منابع مشابه
Employee Reload Options: Pricing, Hedging, and Optimal Exercise
Reload options, call options whose exercise entitles the holder to new options, are compound options that are commonly issued by firms to employees. Although reload options typically involve exercise at many dates, the optimal exercise policy is simple (always exercise when in the money) and surprisingly robust to assumptions about the employee’s ability to transact in the underlying stock as w...
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Infinite reload options allow the user to exercise his reload right as often as he chooses during the lifetime of the contract. Each time a reload occurs, the owner receives new options where the strike price is set to the current stock price. We consider a modified version of the infinite reload option contract where the strike price of the new options received by the owner is increased by a c...
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We survey the theoretical and the computational problems associated with the pricing of spread options. These options are ubiquitous in the financial markets, whether they be equity, fixed income, foreign exchange, commodities, or energy markets. As a matter of introduction, we present a general overview of the common features of all the spread options by discussing in detail their roles as spe...
متن کاملOptimal Multiple Stopping Models of Reload Options and Shout Options
The reload provision in an employee stock option entitles its holder to receive one new (reload) option from the employer for each share tendered as payment of strike upon the exercise of the stock option. The number of reloads allowed can be finite or infinite. The shout feature in a call option allows its holder to reset the option’s strike price to the prevailing stock price upon shouting. W...
متن کاملValuation of Employee Reload Options Using Utility Maximization Approach
The reload provision in an employee stock option is an option enhancement that allows the employee to pay the strike upon exercising the stock option using his owned stocks and to receive new “reload” stock options. The usual Black-Scholes risk neutral valuation approach may not be appropriate to be adopted as the pricing vehicle for employee stock options, due to the non-transferability of the...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2003
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/16.1.0145