Executive Stock Option Pricing in China under Stochastic Volatility
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- Terence Tai Leung Chong & Yue Ding & Yong Li, 2015. "Executive Stock Option Pricing in China Under Stochastic Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(10), pages 953-960, October.
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Cited by:
- Zhiwei Su & Xingchun Wang, 2019. "Pricing executive stock options with averaging features under the Heston–Nandi GARCH model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1056-1084, September.
- Wang, Xingchun, 2018. "Valuing executive stock options under correlated employment shocks," Finance Research Letters, Elsevier, vol. 27(C), pages 38-45.
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More about this item
Keywords
Bayesian analysis; Executive stock options; FAS 123; Option pricing; SV models.;JEL classification:
- G3 - Financial Economics - - Corporate Finance and Governance
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CNA-2015-04-11 (China)
- NEP-TRA-2015-04-11 (Transition Economics)
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