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Juste Valeur Et Risque De Modele : Le Cas De La Valorisation Des Stock-Options

Author

Listed:
  • Jean-François Casta

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

  • Hamza Bahaji

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

Abstract

Fair value is recommended by the international accounting standards for the valuation of several financial instruments including stock options (IFRS 2). Our contribution aims to outline the limits of the stock options standard valuation models related to their underlying behavioural assumptions. It suggests an alternative behavioural representation relying on the Prospect Theory (Kahneman et Tversky, 1979, 1992). This approach would lead to more relevant fair value assessment.

Suggested Citation

  • Jean-François Casta & Hamza Bahaji, 2014. "Juste Valeur Et Risque De Modele : Le Cas De La Valorisation Des Stock-Options," Post-Print hal-01899601, HAL.
    • Handle: RePEc:hal:journl:hal-01899601
    Note: View the original document on HAL open archive server: https://hal.science/hal-01899601
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    References listed on IDEAS

    as
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