Stock options for undiversified executives
نویسندگان
چکیده
منابع مشابه
How do Executives Exercise Stock Options?∗
We analyze a large data set of stock option exercises for a large data set of almost 200,000 option packages for more than 16,000 US top executives and analyze their motivations for the early exercise of their stock options. We estimate a hazard model to identify the main variables that in uence executives' timing decisions and nd that behavioral factors (e.g., trends in past stock prices), ins...
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It is widely believed that executives value stock options at less than market or Black-ScholesMerton values. This belief is contingent, however, on a subtle assumption that executives are, like shareholders, price takers with no ability to influence the underlying stock. But executives clearly have the ability to influence the stock, as that is the principal reason why they are granted the opti...
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We use the basic binomial option pricing method but allow someor all the parameters in the model to be uncertain and model this uncertaintyusing fuzzy numbers. We show that with the fuzzy model we can, with areasonably small number of steps, consider almost all possible future stockprices; whereas the crisp model can consider only n + 1 prices after n steps.
متن کاملExecutive Exercise Explained: Patterns for Stock Options
It is well documented that executives granted stock options tend to exercise early and in a few large transactions or “blocks”. Standard risk-neutral valuation models cannot explain these patterns, and attempts to capture the exercise behavior of risk averse executives have been limited to the special case of one option. This paper solves for the optimal exercise behavior for a risk averse exec...
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The fact that the implied volatility smiles for equity indices are strongly downward sloping, while the typical individual stock exhibits either a flat or even an upward sloping smile is sometimes considered puzzling. We show that this effect can easily be generated in a simple and parsimonious two-factor stochastic volatility model in the spirit of Bates (2000). From a theoretical perspective ...
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ژورنال
عنوان ژورنال: Journal of Accounting and Economics
سال: 2002
ISSN: 0165-4101
DOI: 10.1016/s0165-4101(01)00050-7