Non-transferable non-hedgeable executive stock option pricing

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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

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