Executive Stock Option Pricing in China Under Stochastic Volatility
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AbstractIn this article, on the basis of stochastic volatility (SV) models, we extend the approach of option pricing for executive stock options (ESOs) under FAS 123. Based on this extension, a sample of Chinese listed companies' ESOs are priced. We analyze the effect of the some important financial variables on the implementation of ESOs. It is found that in China, firms with higher market risk and larger size are likely to have a higher ESO proportion in their executive incentive plans. The effects of the book-to market ratio, stock price volatility, executive shareholding proportion, and the leverage ratio are also examined. (c) 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:953-960, 2015
All Author(s) ListChong TTL, Ding Y, Li Y
Journal nameJournal of Futures Markets
Year2015
Month10
Day1
Volume Number35
Issue Number10
PublisherWILEY-BLACKWELL
Pages953 - 960
ISSN0270-7314
eISSN1096-9934
LanguagesEnglish-United Kingdom
Web of Science Subject CategoriesBusiness & Economics; Business, Finance

Last updated on 2020-11-07 at 01:32