THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS

被引：2
|
作者：
Wang, Xingchun [1 ]
Su, Zhiwei [2 ]
Xu, Guangli [3 ]
机构：
[1] Univ Int Business & Econ, Sch Int Trade & Econ, Beijing 100029, Peoples R China
[2] Tsinghua Univ, PBC Sch Finance, Beijing 100083, Peoples R China
[3] Univ Int Business & Econ, Sch Stat, Beijing 100029, Peoples R China
来源：
PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES | 2018年 / 32卷 / 03期
基金：
中国国家自然科学基金; 国家教育部科学基金资助;
关键词：
departure risk; endogenous departure; executive stock options; garch models; SYSTEMATIC-RISK; VOLATILITY; FRAMEWORK;
D O I：
10.1017/S0269964817000316
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
In this paper, we investigate executive stock options with endogenous departure and time-varying variances. We use a "Generalized Autoregressive Conditional Heteroskedasticity" process to capture the variance process of the log stock price. In addition, we take into consideration the departure risk of the executive and assume that the probability of remaining employed has a power form of stock price ratios. After deriving the closed-form pricing formulae of executive stock options, we illustrate the effects of the departure risk on the values of executive stock options.
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页码：409 / 433
页数：25
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