Book's Detail
Pricing employee stock options (ESOS) with random lattice

Employee Stock Options (ESOs) are stock options granted by companies to their employees. Unlike standard options that can be traded by typical institutional or individual investors, employees cannot sell or transfer their ESOs to other investors. The sale restrictions may induce the ESO’s holder to exercise them earlier. In much cited paper, Hull and White propose a binomial lattice in valuing ESOs which assumes that employees will exercise voluntarily their ESOs if the stock price reaches a horizontal psychological barrier. Due to nonlinearity errors, the numerical pricing results oscillate significantly so they may lead to large pricing errors. In this paper, we use the random lattice method to price the Hull-White ESOs model. This method can reduce the nonlinearity error by aligning a layer of nodes of the random lattice with a psychological barrier.

Pernyataan Tanggungjawab Erwinna Chendra, Liem Chin, Agus Sukmana
Pengarang Chendra, Erwinna - Pengarang Utama
Sukmana, Agus - Pengarang Tambahan
Liem Chin - Pengarang Tambahan
Edisi
No. Panggil
ISBN/ISSN
Subyek
Klasifikasi
Judul Seri
GMD Computer File
Bahasa English
Penerbit Universitas Negeri Padang
Tahun Terbit 2017
Tempat Terbit Padang
Deskripsi Fisik p. 1 - 4
Info Detil Spesifik Makalah dipresentasikan pada ICOMSET 2017. Universitas Negeri Padang. Padang, 5 - 6 Oktober 2017.
Lampiran Berkas
LOADING LIST...
Ketersediaan
LOADING LIST...
 

Visitor Counter
Visit Today
Pencarian