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Valuation of a Repriceable Executive Stock Option

Author

Listed:
  • Takahiko Fujita

    ()

  • Masahiro Ishii

    ()

Abstract

No abstract is available for this item.

Suggested Citation

  • Takahiko Fujita & Masahiro Ishii, 2010. "Valuation of a Repriceable Executive Stock Option," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(1), pages 1-18, March.
  • Handle: RePEc:kap:apfinm:v:17:y:2010:i:1:p:1-18
    DOI: 10.1007/s10690-009-9096-2
    as

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    References listed on IDEAS

    as
    1. 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.
    2. 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, August.
    3. Motokazu Ishizaka & Koichiro Takaoka, 2003. "On the Pricing of Defaultable Bonds Using the Framework of Barrier Options," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(2), pages 151-162, September.
    4. Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
    5. 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.
    6. Johnson, Shane A. & Tian, Yisong S., 2000. "Indexed executive stock options," Journal of Financial Economics, Elsevier, vol. 57(1), pages 35-64, July.
    7. Brenner, Menachem & Sundaram, Rangarajan K. & Yermack, David, 2000. "Altering the terms of executive stock options," Journal of Financial Economics, Elsevier, vol. 57(1), pages 103-128, July.
    8. repec:bla:joares:v:36:y:1998:i:2:p:231-255 is not listed on IDEAS
    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. 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.
    11. Koichiro Takaoka, 2004. "A Complete-Market Generalization of the Black-Scholes Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(4), pages 431-444, December.
    12. 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.
    13. 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.
    14. Hua He & William P. Keirstead & Joachim Rebholz, 1998. "Double Lookbacks," Mathematical Finance, Wiley Blackwell, vol. 8(3), pages 201-228.
    15. Kenji Kamizono & Takeaki Kariya & Regina Liu & Teruo Nakatsuma, 2004. "A New Control Variate Estimator for an Asian Option," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(2), pages 143-160, June.
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