Browsing Department of Mathematics by Author "Arotiba, Gbenga Joseph"
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Pricing American style employee stock options having GARCH effects
Arotiba, Gbenga Joseph (University of the Western Cape, 2010)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 ...