THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS
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DOI: 10.1017/s0269964817000316
Abstract: In this paper, we investigate executive stock options with endogenous departure and time-varying variances. We use a “Generalized Autoregressive Conditional Heteroskedasticity” process to capture the variance process of the log stock price. In addition, we… read more here.
Keywords: options garch; executive stock; stock options; valuation executive ... See more keywords