𝔖 Bobbio Scriptorium
✦   LIBER   ✦

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


Repricing and employee stock option valu
✍ Charles J Corrado; Bradford D Jordan; Thomas W Miller Jr.; John J Stansfield 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 163 KB
American option valuation: Implied calib
✍ Michael Weber; Marcel Prokopczuk 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 151 KB

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

An expanded model for the valuation of e
✍ Feng-Yu Liao; Yuh-Dauh Lyuu 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 437 KB 👁 1 views

## 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