Pricing executive stock optons under employment shocks
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Título: | Pricing executive stock optons under employment shocks |
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Autor/es: | Carmona-Martínez, Julio | León Valle, Ángel M. | Vaello-Sebastià, Antoni |
Grupo/s de investigación o GITE: | Finanzas de Mercado y Econometría Financiera |
Centro, Departamento o Servicio: | Universidad de Alicante. Departamento de Fundamentos del Análisis Económico |
Palabras clave: | Executive stock options | Risk aversion | Undiversification | Incentives | FAS123R |
Fecha de publicación: | 13-ago-2010 |
Editor: | Elsevier |
Cita bibliográfica: | Journal of Economic Dynamics and Control. 2011, 35(1): 97-114. https://doi.org/10.1016/j.jedc.2010.08.002 |
Resumen: | We obtain explicit expressions for the subjective, objective and market value of perpetual executive stock options (ESOs) under exogenous employment shocks driven by an independent Poisson process. Previously, we obtain the executive's optimal exercise policy from the subjective valuation that is necessary for the objective one, or fair value. The perpetual ESO is compared with the true finite maturity ESO finding that the approximation is reasonably good. To illustrate the usefulness of the objective valuation for accounting purposes, we analyze the statistical distribution of the fair value when there is uncertainty about the employment shock intensity. Finally, the role of ESOs in the design of executives’ incentives is also discussed. |
Patrocinador/es: | Spanish Ministry for Science and Innovation through the Grant SEJ 2004-05815; Spanish Ministry for Science and Innovation through the Grant ECO2008-02599/ECO; Spanish Ministry for Science and Innovation through the Grant ECO2010-18567. |
URI: | http://hdl.handle.net/10045/140326 |
ISSN: | 0165-1889 (Print) | 1879-1743 (Online) |
DOI: | 10.1016/j.jedc.2010.08.002 |
Idioma: | eng |
Tipo: | info:eu-repo/semantics/article |
Derechos: | © 2010 Elsevier B.V. |
Revisión científica: | si |
Versión del editor: | https://doi.org/10.1016/j.jedc.2010.08.002 |
Aparece en las colecciones: | INV - Finanzas de Mercado y Econometría Financiera - Artículos de Revistas |
Archivos en este ítem:
Archivo | Descripción | Tamaño | Formato | |
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Carmona_etal_2011_JEconDynamContr_final.pdf | Versión final (acceso restringido) | 424,16 kB | Adobe PDF | Abrir Solicitar una copia |
Carmona_etal_2011_JEconDynamContr_preprint.pdf | Preprint (acceso abierto) | 414,72 kB | Adobe PDF | Abrir Vista previa |
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