scholarly journals Executive Stock Option Pricing in China Under Stochastic Volatility

2015 ◽  
Vol 35 (10) ◽  
pp. 953-960 ◽  
Author(s):  
Terence Tai Leung Chong ◽  
Yue Ding ◽  
Yong Li
Keyword(s):  
Option Pricing ◽  
Stochastic Volatility ◽  
Stock Option ◽  
Executive Stock Option

OPTION PRICING AND EXECUTIVE STOCK OPTION INCENTIVES: AN EMPIRICAL INVESTIGATION UNDER GENERAL ERROR DISTRIBUTION STOCHASTIC VOLATILITY MODEL

2011 ◽  
Vol 28 (01) ◽  
pp. 81-93 ◽  
Author(s):  
MIN PAN ◽  
SHENGQIAO TANG
Keyword(s):  
Option Pricing ◽  
Stochastic Volatility ◽  
Stock Option ◽  
Error Distribution ◽  
Stochastic Volatility Model ◽  
Pricing Model ◽  
Executive Stock Option ◽  
Volatility Model ◽  
Option Pricing Model ◽  
General Error

This article investigates the valuation of executive stock options when the stock return volatility is governed by the general error distribution stochastic volatility model, involving both the features of the stock return volatility and the abnormal fluctuations of the stock price at the expiration date. We estimate the parameters in the general error distribution stochastic volatility model using the Markov Chain Monte Carlo method with Shanghai & Shenzhen 300 Index in China as a sample, and compare the executive stock option values calculated by Black-Scholes option pricing model and the option pricing model under general error distribution stochastic volatility model. The results show that the general error distribution stochastic volatility model has greater veracity in describing the volatility of stock market returns, and there is divergence between the two values estimated by Black-Scholes option pricing model and the option pricing model under general error distribution stochastic volatility model. The divergence varies with the discrepancy between the price of underlying stock at the granting date and the strike price of the option.

Non-transferable non-hedgeable executive stock option pricing

2015 ◽  
Vol 53 ◽  
pp. 161-191 ◽  
Author(s):  
David B. Colwell ◽  
David Feldman ◽  
Wei Hu
Keyword(s):  
Option Pricing ◽  
Stock Option ◽  
Executive Stock Option

The Adoption and Structure of Executive Stock Option Plans

1999 ◽  
Author(s):  
Michael E. E. Bradbury ◽  
Janice C.Y. Ching ◽  
Yuen Teen Mak
Keyword(s):  
Stock Option ◽  
Executive Stock Option
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