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Valuation of a Repriceable Executive Stock Option

  • Takahiko Fujita

    ()

  • Masahiro Ishii

    ()

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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s10690-009-9096-2
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    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 17 (2010)
    Issue (Month): 1 (March)
    Pages: 1-18

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    Handle: RePEc:kap:apfinm:v:17:y:2010:i:1:p:1-18
    Contact details of provider: Web page: http://springerlink.metapress.com/link.asp?id=102851

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    1. Hua He William P. Keirstead and Joachim Rebholz., 1995. "Double Lookbacks," Research Program in Finance Working Papers RPF-248, University of California at Berkeley.
    2. Turnbull, Stuart M. & Wakeman, Lee Macdonald, 1991. "A Quick Algorithm for Pricing European Average Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(03), pages 377-389, September.
    3. Menachem Brenner & Rangarajan K. Sundaram & David Yermack, 1998. "Altering the Terms of Executive Stock Options," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-010, New York University, Leonard N. Stern School of Business-.
    4. Koichiro Takaoka, 2004. "A Complete-Market Generalization of the Black-Scholes Model," Asia-Pacific Financial Markets, Springer, vol. 11(4), pages 431-444, December.
    5. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    6. Acharya, Viral V. & John, Kose & Sundaram, Rangarajan K., 2000. "On the optimality of resetting executive stock options," Journal of Financial Economics, Elsevier, vol. 57(1), pages 65-101, July.
    7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    8. Motokazu Ishizaka & Koichiro Takaoka, 2003. "On the Pricing of Defaultable Bonds Using the Framework of Barrier Options," Asia-Pacific Financial Markets, Springer, vol. 10(2), pages 151-162, September.
    9. Johnson, Shane A. & Tian, Yisong S., 2000. "The value and incentive effects of nontraditional executive stock option plans," Journal of Financial Economics, Elsevier, vol. 57(1), pages 3-34, July.
    10. Aigbe Akhigbe & Jeff Madura & Alan L. Tucker, 1996. "Market-Controlled Stock Options: A New Approach To Executive Compensation," Journal of Applied Corporate Finance, Morgan Stanley, vol. 9(1), pages 93-98.
    11. Kenji Kamizono & Takeaki Kariya & Regina Liu & Teruo Nakatsuma, 2004. "A New Control Variate Estimator for an Asian Option," Asia-Pacific Financial Markets, Springer, vol. 11(2), pages 143-160, June.
    12. Johnson, Shane A. & Tian, Yisong S., 2000. "Indexed executive stock options," Journal of Financial Economics, Elsevier, vol. 57(1), pages 35-64, July.
    13. Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
    14. Kemna, A. G. Z. & Vorst, A. C. F., 1990. "A pricing method for options based on average asset values," Journal of Banking & Finance, Elsevier, vol. 14(1), pages 113-129, March.
    15. Sandra Renfro Callaghan & P. Jane Saly & Chandra Subramaniam, 2004. "The Timing of Option Repricing," Journal of Finance, American Finance Association, vol. 59(4), pages 1651-1676, 08.
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