dc.contributor.advisor | Patidar, Kailash C. | |
dc.contributor.author | Arotiba, Gbenga Joseph | |
dc.contributor.other | Dept. of Mathematics | |
dc.contributor.other | Faculty of Arts | |
dc.date.accessioned | 2013-09-13T08:22:39Z | |
dc.date.available | 2011/02/25 08:39 | |
dc.date.available | 2011/02/25 | |
dc.date.available | 2013-09-13T08:22:39Z | |
dc.date.issued | 2010 | |
dc.identifier.uri | http://hdl.handle.net/11394/2116 | |
dc.description | Magister Scientiae - MSc | en_US |
dc.description.abstract | We investigate some simulation-based approaches for the valuing of the employee stock options. The mathematical models that deal with valuation of such options include the work of Jennergren and Naeslund [L.P Jennergren and B. Naeslund, A comment on valuation of executive stock options and the FASB proposal, Accounting Review 68 (1993) 179-183]. They used the Black and Scholes [F. Black and M. Scholes, The pricing of options and corporate liabilities, Journal of Political Economy 81(1973) 637-659] and extended partial differential equation for an option that includes the early exercise. Some other major relevant works to this mini thesis are Hemmer et al. [T Hemmer, S. Matsunaga and T Shevlin, The influence of risk diversification on the early exercise of employee stock options by executive officers, Journal of Accounting and Economics 21(1) (1996) 45-68] and Baril et al. [C. Baril, L. Betancourt, J. Briggs, Valuing employee stock options under SFAS 123 R using the Black-Scholes-Merton and lattice model approaches, Journal of Accounting Education 25 (1-2) (2007) 88-101]. The underlying assets are studied under the GARCH (generalized autoregressive conditional heteroskedasticity) effects. Particular emphasis is made on the American style employee stock options. | en_US |
dc.language.iso | en | en_US |
dc.publisher | University of the Western Cape | en_US |
dc.subject | Employee Stock Options | en_US |
dc.subject | Black Scholes Option Pricing Model | en_US |
dc.subject | American options | en_US |
dc.subject | Incentive stock options | en_US |
dc.subject | Non-qualified stock options | en_US |
dc.subject | Internal Revenue Code (IRC) | en_US |
dc.subject | Financial Accounting Standards Board (FASB) | en_US |
dc.subject | Financial Accounting Standard | en_US |
dc.subject | Statement No. 123 | en_US |
dc.subject | Binomial tree method | en_US |
dc.subject | Generalized Autoregressive Conditional Heteroskedasticity (GARCH) | en_US |
dc.title | Pricing American style employee stock options having GARCH effects | en_US |
dc.type | Thesis | en_US |
dc.rights.holder | University of the Western Cape | en_US |
dc.description.country | South Africa | |