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Accounting For Risk Aversion, Vesting, Job Termination Risk And Multiple Exercises In Valuation Of Employee Stock Options

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  • Tim Leung
  • Ronnie Sircar

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9965.2008.00359.x
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Bibliographic Info

Article provided by Wiley Blackwell in its journal Mathematical Finance.

Volume (Year): 19 (2009)
Issue (Month): 1 ()
Pages: 99-128

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Handle: RePEc:bla:mathfi:v:19:y:2009:i:1:p:99-128

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627

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Citations

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Cited by:
  1. Erhan Bayraktar & Virginia Young, 2008. "Pricing options in incomplete equity markets via the instantaneous Sharpe ratio," Annals of Finance, Springer, vol. 4(4), pages 399-429, October.
  2. Xiaoshan Chen & Qingshuo Song & Fahuai Yi & George Yin, 2011. "Indifference Pricing of American Option Underlying Illiquid Stock under Exponential Forward Performance," Papers 1201.0075, arXiv.org.
  3. Abudy, Menachem & Benninga, Simon, 2013. "Non-marketability and the value of employee stock options," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5500-5510.
  4. Carpenter, Jennifer N. & Stanton, Richard & Wallace, Nancy, 2010. "Optimal exercise of executive stock options and implications for firm cost," Journal of Financial Economics, Elsevier, vol. 98(2), pages 315-337, November.
  5. Tim Siu-Tang Leung & Kazutoshi Yamazaki, 2010. "American Step-Up and Step-Down Default Swaps under Levy Models," Papers 1012.3234, arXiv.org, revised Sep 2012.
  6. Tang, Chun-Hua, 2012. "Revisiting the incentive effects of executive stock options," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 564-574.
  7. Alghalith, Moawia, 2012. "Forward dynamic utility functions: A new model and new results," European Journal of Operational Research, Elsevier, vol. 223(3), pages 842-845.
  8. Ángel León Valle & Antonio Vaello & Julio Carmona, 2009. "Pricing executive stock options under employment shocks," Working Papers. Serie AD 2009-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  9. Gao, Jin & Ulm, Eric R., 2012. "Optimal consumption and allocation in variable annuities with Guaranteed Minimum Death Benefits," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 586-598.

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