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| Tekijä: | Lochte Jorgensen, P. |
| Otsikko: | American-style indexed executive stock options |
| Lehti: | European Finance Review
2002 : VOL. 6:3, p. 321-358 |
| Asiasana: | Executives Incentives Stock options USA |
| Kieli: | eng |
| Tiivistelmä: | A new pricing model is developed for American-style indexed executive stock options. The author relies on a basic model framework and an indexation shceme first proposed by Johnson and Tian (2000a) in their analysis of European-style indexed options. The author's derivation of the valuation formula represents an instructive example of the usefulness of the change-of-numeraire technique. |
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