American GARCH employee stock option valuation
✍ Scribed by Angel León; Antoni Vaello-Sebastià
- Book ID
- 116615322
- Publisher
- Elsevier Science
- Year
- 2009
- Tongue
- English
- Weight
- 544 KB
- Volume
- 33
- Category
- Article
- ISSN
- 0378-4266
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
This study analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility process. We propose the usage of Rubinstein's Edgeworth binomial tree (EBT) in contrast to simulation-based methods being considered in previous studies. The EBT-based valuation approach m
## Abstract The unique characteristics of employee stock options make straightforward applications of traditional option pricing models questionable. This study extends the standard pricing model to account for the dilution effect, the employees' exercise pattern, and the state‐dependent employee f