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Modifying the Black-Scholes-Merton model to calculate the cost of employee stock options

D. Finnerty, John - In: Managerial Finance 40 (2014) 1, pp. 2-32

Purpose – More than 80 percent of S&P 500 firms that issue ESOs use the Black-Scholes-Merton (BSM) model and substitute … overprices ESOs, which worsens as the stock's volatility increases. The purpose of this paper is to present a modification of the … grants and 1.31 billion ESOs to calculate the exercise and forfeiture parameters and value ESOs for nine firms. Findings …

Persistent link: https://www.econbiz.de/10014941948

Modifying the Black-Scholes-Merton model to calculate the cost of employee stock options

Finnerty, John D. - In: Managerial finance 40 (2014) 1, pp. 2-32

Persistent link: https://www.econbiz.de/10010252122

Option valuation: key issues in option pricing

Hewett, Thomas; Igolnikov, Roman - In: Balance Sheet 8 (2000) 4, pp. 11-16

In this paper we attempt to address, in a non‐technical way, the basic assumptions underlying option pricing theory and point out some of the inherent weaknesses they imply in the reliability of the resulting valuations. We present several concrete examples to illustrate the impact of the...

Persistent link: https://www.econbiz.de/10014689045

Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach

Castillo, Augusto - In: Latin American Journal of Economics-formerly Cuadernos … 41 (2004) 124, pp. 345-360

This paper analyzes corporate bond valuation of a straight bond, and the convertibility feature, when interest rates …

Persistent link: https://www.econbiz.de/10005510176

IMPLEMENTATION OF MONTE CARLO METHOD IN OPTION VALUATION USING STATISTICAL PROGRAMMING LANGUAGE R

Vasylchenko I. - In: Вісник Киiвського … (2011) 3, pp. 43-46

Автором детально рассмотрено теорию метода Монте Карло и проведено еепрактическую реализацию средствами статистического программного языка R для европейских...

Persistent link: https://www.econbiz.de/10011234439

Valuing intellectual capital using game theory

Chen, Stephen - In: Journal of Intellectual Capital 4 (2003) 2, pp. 191-201

difficult to link to stock market valuations and to business strategy. This paper illustrates how options theory and game theory …

Persistent link: https://www.econbiz.de/10014875297

Anchoring bias in the TARP warrant negotiations

Wilson, Linus - In: Journal of Economics and Business 64 (2012) 1, pp. 63-76

This paper finds that banks that offered lower opening bids were rewarded with significantly lower warrant repurchase prices in transactions that raised $2.856 billion in 2009. These results were scaled by third-party consultants’ and the Congressional Oversight Panel's estimates of the...

Persistent link: https://www.econbiz.de/10010599712

Using options to measure the full value-effect of an event : application to Obamacare

Borochin, Paul; Golec, Joseph - In: Journal of financial economics 120 (2016) 1, pp. 169-193

Persistent link: https://www.econbiz.de/10011590075

Overpriced mergers and acquisitions in the chemical industry

Lewis, Kyle (contributor); Duvic, Robert Conrad (contributor) - 2009

, numerous valuation techniques exist. The discount cash flow examines the value of a firm based on future cash flow. The market … multiple compares target firms to similar firms in the industry. Lastly, the asset valuation determines the value of a firm …

Persistent link: https://www.econbiz.de/10009429394

The Effect of Risk on Legal Valuation

Rhee, Robert J. - 2007

legal valuation, and a small but growing body of scholarship endorses this concept. However, option theory is not the only … perceptions of risk in valuation. …

Persistent link: https://www.econbiz.de/10009432058