Pricing American style employee stock options having GARCH effects
Arotiba, Gbenga Joseph
MetadataShow full item record
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.
Showing items related by title, author, creator and subject.
A critical ethnography of Kreol Morisien as an optional language in primary education within the Republic of Mauritius Harmon, Jimmy Desiré (University of the Western Cape, 2015)This research is a critical ethnography of KM in primary schools. Its purpose is to explore the link between heritage language and identity construction. My central research question is: how does the introduction of KM as ...
Exploring pre-and post-partum barriers to anti-retroviral therapy adherence for HIV-positive women initiated onto Option B Plus in Harare, Zimbabwe Dube, Lorraine Tanyaradzwa (University of the Western cape, 2016)Background: Zimbabwe has one of the highest HIV prevalence rates in sub-Saharan Africa, with the adult prevalence rate at 15%. The HIV prevalence is highest among adult women, at 18%. Mother-to-child transmission is the ...
Nkosi, Siboniso Confrence (University of the Western Cape, 2016)This paper focuses on the newly revived interest to model free approach in finance. Instead of postulating some probability measure it emerges in a form of an outer-measure. We review the behavior of a market stock price ...