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Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach
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Cited by:
- Suleyman Basak & Georgy Chabakauri, 2012.
"Dynamic Hedging in Incomplete Markets: A Simple Solution,"
The Review of Financial Studies, Society for Financial Studies, vol. 25(6), pages 1845-1896.
- Georgy chabakauri & Suleyman Basak, 2009. "Dynamic Hedging in Incomplete Markets: A Simple Solution," 2009 Meeting Papers 594, Society for Economic Dynamics.
- Suleyman Basak & Georgy Chabakauri, 2011. "Dynamic Hedging in Incomplete Markets: A Simple Solution," FMG Discussion Papers dp680, Financial Markets Group.
- Basak, Suleyman & Chabakauri, Georgy, 2011. "Dynamic Hedging in Incomplete Markets: A Simple Solution," CEPR Discussion Papers 8402, C.E.P.R. Discussion Papers.
- Basak, Suleyman & Chabakauri, Georgy, 2011. "Dynamic hedging in incomplete markets: a simple solution," LSE Research Online Documents on Economics 119068, London School of Economics and Political Science, LSE Library.
- Bernard Dumas & Andrew Lyasoff, 2012.
"Incomplete-Market Equilibria Solved Recursively on an Event Tree,"
Journal of Finance, American Finance Association, vol. 67(5), pages 1897-1941, October.
- Bernard DUMAS & Andrew LYASOFF, 2008. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," Swiss Finance Institute Research Paper Series 08-49, Swiss Finance Institute.
- Dumas, Bernard & Lyasoff, Andrew, 2009. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," CEPR Discussion Papers 7138, C.E.P.R. Discussion Papers.
- Bernard Dumas & Andrew Lyasoff, 2008. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," NBER Working Papers 14629, National Bureau of Economic Research, Inc.
- Hamza Bahaji, 2011. "Incentives from stock option grants: a behavioral approach," Post-Print halshs-00681607, HAL.
- Huang, Hung-Hsi & Wang, Ching-Ping, 2013. "Portfolio selection and portfolio frontier with background risk," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 177-196.
- Miao, Jianjun & Wang, Neng, 2007.
"Investment, consumption, and hedging under incomplete markets,"
Journal of Financial Economics, Elsevier, vol. 86(3), pages 608-642, December.
- Junjian Miao & Neng Wang, 2005. "Investment, Consumption and Hedging under Incomplete Markets," Boston University - Department of Economics - Macroeconomics Working Papers Series WP2005-011, Boston University - Department of Economics, revised Sep 2006.
- Jianjun Miao & Neng Wang, 2007. "Investment, Consumption, and Hedging under Incomplete Markets," NBER Working Papers 13250, National Bureau of Economic Research, Inc.
- Jianjun Miao & Neng Wang, 2006. "Investment, Consumption, and Hedging under Incomplete Markets," CEMA Working Papers 459, China Economics and Management Academy, Central University of Finance and Economics.
- Jianjun Miao & Neng Wang, 2006. "Investment, consumption and hedging under incomplete markets," 2006 Meeting Papers 289, Society for Economic Dynamics.
- Lewellen, Katharina, 2004. "Financing Decisions When Managers Are Risk Averse," Working papers 4438-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Vicky Henderson & Kamil Klad'ivko & Michael Monoyios & Christoph Reisinger, 2017. "Executive stock option exercise with full and partial information on a drift change point," Papers 1709.10141, arXiv.org, revised Jul 2020.
- Elettra Agliardi & Rainer Andergassen, 2005.
"Incentives of Stock Option Based Compensation,"
Review of Quantitative Finance and Accounting, Springer, vol. 25(1), pages 21-32, August.
- E. Agliardi & R. Andergassen, 2003. "Incentives of Stock Options Based Compensation," Working Papers 458, Dipartimento Scienze Economiche, Universita' di Bologna.
- Chris Riddell, 2010. "Comment on "New Data for Answering Old Questions Regarding Employee Stock Options"," NBER Chapters, in: Labor in the New Economy, pages 180-184, National Bureau of Economic Research, Inc.
- Jin, Li, 2002. "CEO compensation, diversification, and incentives," Journal of Financial Economics, Elsevier, vol. 66(1), pages 29-63, October.
- Rubtsov, Alexey, 2016. "Model misspecification and pricing of illiquid claims," Finance Research Letters, Elsevier, vol. 18(C), pages 242-249.
- Ibáñez, Alfredo, 2008. "Factorization of European and American option prices under complete and incomplete markets," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 311-325, February.
- Lewellen, Katharina, 2006. "Financing decisions when managers are risk averse," Journal of Financial Economics, Elsevier, vol. 82(3), pages 551-589, December.
- Ibáñez, Alfredo, 2005. "Option-pricing in incomplete markets: the hedging portfolio plus a risk premium-based recursive approach," DEE - Working Papers. Business Economics. WB wb058121, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
- Andrew Ang & Nicolas P.B. Bollen, 2010.
"Locked Up by a Lockup: Valuing Liquidity as a Real Option,"
Financial Management, Financial Management Association International, vol. 39(3), pages 1069-1096, September.
- Andrew Ang & Nicolas P.B. Bollen, 2010. "Locked Up by a Lockup: Valuing Liquidity as a Real Option," NBER Working Papers 15937, National Bureau of Economic Research, Inc.
- Hodder, James E. & Jackwerth, Jens Carsten, 2011.
"Managerial responses to incentives: Control of firm risk, derivative pricing implications, and outside wealth management,"
Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1507-1518, June.
- Jackwerth, Jens Carsten & Hodder, James E., 2008. "Managerial Responses to Incentives: Control of Firm Risk, Derivative Pricing Implications, and Outside Wealth Management," MPRA Paper 11643, University Library of Munich, Germany.
- L. Rogers & José Scheinkman, 2007. "Optimal exercise of executive stock options," Finance and Stochastics, Springer, vol. 11(3), pages 357-372, July.
- Kraus, Alan & Rubin, Amir, 2010. "Reducing managers' incentives to cannibalize: Managerial stock options when shareholders are diversified," Journal of Financial Intermediation, Elsevier, vol. 19(4), pages 439-460, October.
- Ming-Cheng Wu & I-Cheng Lin, 2013. "Determining fair values of performance-vested and forfeiture-embedded employee stock options," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(4), pages 1083-1106, December.
- Hall, Brian J. & Murphy, Kevin J., 2002.
"Stock options for undiversified executives,"
Journal of Accounting and Economics, Elsevier, vol. 33(1), pages 3-42, February.
- Brian J. Hall & Kevin J. Murphy, 2000. "Stock Options for Undiversified Executives," NBER Working Papers 8052, National Bureau of Economic Research, Inc.
- Guiyuan Ma & Song-Ping Zhu & Ivan Guo, 2019. "Valuation of contingent claims with short selling bans under an equal-risk pricing framework," Papers 1910.04960, arXiv.org, revised Aug 2021.
- Vicky Henderson & David Hobson, 2008. "Perpetual American options in incomplete markets: the infinitely divisible case," Quantitative Finance, Taylor & Francis Journals, vol. 8(5), pages 461-469.
- Schwartz, Eduardo S & Tebaldi, Claudio, 2004.
"Illiquid Assets and Optimal Portfolio Choice,"
University of California at Los Angeles, Anderson Graduate School of Management
qt7q65t12x, Anderson Graduate School of Management, UCLA.
- Eduardo S. Schwartz & Claudio Tebaldi, 2006. "Illiquid Assets and Optimal Portfolio Choice," NBER Working Papers 12633, National Bureau of Economic Research, Inc.
- Grasselli, Matheus & Henderson, Vicky, 2009. "Risk aversion and block exercise of executive stock options," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 109-127, January.
- Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005 216, Society for Computational Economics.
- Brian J. Hall & Thomas A. Knox, 2004. "Underwater Options and the Dynamics of Executive Pay‐to‐Performance Sensitivities," Journal of Accounting Research, Wiley Blackwell, vol. 42(2), pages 365-412, May.
- Hengjie Ai & Dana Kiku, 2016. "Volatility Risks and Growth Options," Management Science, INFORMS, vol. 62(3), pages 741-763, March.
- Zvi Bodie & Jérôme Detemple & Marcel Rindisbacher, 2009. "Life-Cycle Finance and the Design of Pension Plans," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 249-286, November.
- Markku Kallio & Antti Pirjetä, 2009. "Computational methods for incentive option valuation," Computational Management Science, Springer, vol. 6(2), pages 209-231, May.
- Abdoh, Hussein, 2023. "Rivals risk-taking incentives and firm corporate policy," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 106-123.
- Tim Leung & Ronnie Sircar, 2009. "Accounting For Risk Aversion, Vesting, Job Termination Risk And Multiple Exercises In Valuation Of Employee Stock Options," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 99-128, January.
- Chance, Don M., 2009. "Liquidity and employee options: An empirical examination of the Microsoft experience," Journal of Corporate Finance, Elsevier, vol. 15(4), pages 469-487, September.
- Carosi, Laura & Gori, Michele & Villanacci, Antonio, 2009. "Endogenous restricted participation in general financial equilibrium," Journal of Mathematical Economics, Elsevier, vol. 45(12), pages 787-806, December.
- Darsinos, T. & Satchell, S.E., 2002. "On the Valuation of Warrants and Executive Stock Options: Pricing Formulae for Firms with Multiple Warrants/Executive Options," Cambridge Working Papers in Economics 0218, Faculty of Economics, University of Cambridge.
- Andrew Grant & Steve Satchell, 2019. "Endogenous divorce risk and investment," Journal of Population Economics, Springer;European Society for Population Economics, vol. 32(3), pages 845-876, July.
- Manuel Ammann & Ralf Seiz, 2005. "An IFRS 2 and FASB 123 (R) Compatible Model for the Valuation of Employee Stock Options," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(4), pages 381-396, December.
- J. Scheinkman & C. Rogers L., 2003. "Optimal Exercise of American Claims When," Princeton Economic Theory Working Papers 77e0e688f3178298289e06d42, David K. Levine.
- Sircar, Ronnie & Xiong, Wei, 2007. "A general framework for evaluating executive stock options," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2317-2349, July.
- Wei Xiong & Ronnie Sircar, 2004. "Evaluating Incentive Options," Econometric Society 2004 North American Winter Meetings 253, Econometric Society.
- Meulbroek, Lisa, 2005. "Company Stock in Pension Plans: How Costly Is It?," Journal of Law and Economics, University of Chicago Press, vol. 48(2), pages 443-474, October.
- Hamza Bahaji, 2011. "Incentives from stock option grants: a behavioral approach," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 10(3), pages 200-227, August.
- repec:dau:papers:123456789/13098 is not listed on IDEAS
- M. R. Grasselli, 2005. "Nonlinearity, correlation and the valuation of employee stock options," Papers math/0511234, arXiv.org.
- Vicky Henderson & David Hobson, 2013. "Risk Aversion, Indivisible Timing Options, and Gambling," Operations Research, INFORMS, vol. 61(1), pages 126-137, February.
- Andreas Andrikopoulos & Andrianos E. Tsekrekos, 2024. "The Pay‐for‐Success Contract: A Valuation Note," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(9), pages 1465-1473, September.
- 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.
- Hamza Bahaji, 2011. "Incentives from stock option grants: a behavioral approach," Post-Print halshs-00681611, HAL.
- Hamza Bahaji, 2018. "Are employee stock option exercise decisions better explained through the prospect theory?," Annals of Operations Research, Springer, vol. 262(2), pages 335-359, March.
- 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.
- Colwell, David B. & Feldman, David & Hu, Wei, 2015. "Non-transferable non-hedgeable executive stock option pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 161-191.
- repec:dau:papers:123456789/9550 is not listed on IDEAS
- Jackwerth, Jens Carsten & Hodder, James E., 2008. "Managerial responses to incentives: Control of firm risk, derivative pricing implications, and outside wealth management," CoFE Discussion Papers 08/07, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Kimura, Toshikazu, 2010. "Valuing executive stock options: A quadratic approximation," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1368-1379, December.
- Brian J. Hall & Thomas A. Knox, 2002. "Managing Option Fragility," NBER Working Papers 9059, National Bureau of Economic Research, Inc.
- Tung-Hsiao Yang & Don M. Chance, 2014. "The Price-Taker Effect On The Valuation Of Executive Stock Options," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 37(1), pages 27-54, February.
- Huang, Xiaoxia & Di, Hao, 2016. "Uncertain portfolio selection with background risk," Applied Mathematics and Computation, Elsevier, vol. 276(C), pages 284-296.
- Vicky Henderson, 2005. "The impact of the market portfolio on the valuation, incentives and optimality of executive stock options," Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 35-47.