Non-transferable non-hedgeable executive stock option pricing

Non-transferable non-hedgeable executive stock option pricing

To value non-transferable non-hedgeable (NTNH) contingent claims and price executive stock options (ESOs), we use a replication argument to translate portfolios with NTNH derivatives into portfolios of primary assets (only) with stochastic portfolio constraints. By identifying stochastic discount fa...

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Bibliographic Details
Main Authors: Colwell, D., Feldman, D., Hu, Wei
Format: Journal Article
Published: Elsevier 2015
Subjects:
Non-transferable
Executive stock options
Constrained portfolio optimization
Stochastic discount factor
Non-hedgeable
Online Access:http://www.sciencedirect.com/science/article/pii/S0165188915000214
http://hdl.handle.net/20.500.11937/25674

Internet

http://www.sciencedirect.com/science/article/pii/S0165188915000214
http://hdl.handle.net/20.500.11937/25674

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