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Valuation Methods of Executive Stock Options

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par Ismaïl Pomiès
Université de Toulouse - Master recherche Marchés et Intermédiaires Financiers 2007
  

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References

[Zap] Jaksa Cvitanic Zvi Wiener Fernando Zapater, Analytic Pricing of Employee Stock Options, editeur, 2004

[Hen] Vicky Henderson, The Impact of the Market Portfolio on the Valuation, Incentives and Optimality of Executive Stock Options, 2005

[Hen2] Vicky Henderson, The Impact of the Market Portfolio on the Valuation, Incentives and Optimality of Executive Stock Options, 2004

[Hen3] Vicky Henderson, Valuing the Option to Invest in an Incomplete Market, 2005

[bng] Jonathan E. bngersoll Jr., The Subjective and Objective Value of Incentives Stock Option, 2002 [Kar] boannis Karatzas, Steven E. Shreve,Methods of Mathematical Finance. Springer., 1999

[Leu] Tim Leung, Ronnie Sircar, Accounting for Risk Aversion, Vesting, Job Termination Risk and Multiple Exercises in Valuation of Employee Stock Options, 2006

[Man] Michael Mania and Martin Schweizer, Dynamic Exponential Utility Indifference Valuation, 2005 [Mon] Michael Monoyios, Performance of utility-based strategies for hedging basis risk, 2003

[Yos] Yoshio Miyahara, Minimal Relative Entropy Martingale Measure and Their Application in Option Pricing Theory, 1999

[Pang] Jong-Shi Pangy, and David Stewartz, Differential Variational Inequalities, 2003

[Kad] Ashay Kadam, Peter Lakner, Anand Srinivasan, Executive Stock Options: Value to the Executive and Cost to the Firm, 2005

[Rog] L.C.G. Rogers, José Scheinkman, Optimal exercise of executive stock options,

[Sen] Gallus Johannes Steiger, The Optimal Martingale Measure for Investors with Exponential Utility Function, 2005

[Sen] Ken Sennewald, Klaus Wälde, Itô 's Lemma and the Bellman Equation for Poisson Processes: An Applied View, 2006

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