search query: @author Carr, P. / total: 9
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| Author: | Carr, P. Linetsky, V. |
| Title: | The valuation of executive stock options in an intensity-based framework |
| Journal: | European Finance Review
2000 : VOL. 4:3, p. 211-230 |
| Index terms: | EXECUTIVES STOCK OPTIONS VALUATION |
| Language: | eng |
| Abstract: | This paper presents a general intensity-based framework to value executive stock options (ESOs). It builds upon the recent advances in the credit risk modeling arena. The early exercise or forfeiture due to voluntary or involuntary employment termination and the early exercise due to the executive's desire for liquidity or diversification are modeled as an exogenous point process with random intensity dependent on the stock price. |
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