Option is derivative instrument that have investment benefit and provide return for the writer and the holder. Option price determination is affected by risk factor. However in Black-Scholes model option price is determined without arbitrage risk affection so it is impossible to take return. In this study, option price formula is constructed to be more represent the condition of financial marke...

Repricing of an employee stock option refers to the practice of lowering the strike price and /or extending the maturity date of a previously granted employee stock option. Normally, firms reprice after a period of significant stock price decline that renders the employee stock options deeply out-of-the-money. By modeling various repricing mechanisms based on some form of Brownian functional of...