The reload provision in an employee stock option is an option enhancement that allows the employee to pay the strike upon exercising the stock option using his owned stocks and to receive new "reload" stock options. The usual Black–Scholes risk neutral valuation approach may not be appropriate...

Several earlier theoretical studies on the optimal issuer's calling policy of a convertible bond suggest that the issuer should call the bond as soon as the conversion value exceeds the call price. However, empirical studies on actual cases of calling by convertible bond issuers reveal that...

Liquidity risks arise from the presence of execution time lags on execution of market orders in trading securities and quot;quantityquot; effect (liquidation discount) on security price. In this paper, we consider an investor who is holding a portfolio of stock and cash (in the form of market...

The reload provision in an employee stock option is an option enhancement that allows the employee to pay the strike upon exercising the stock option using his owned stocks and to receive new reload stock options. The usual Black-Scholes risk neutral valuation approach cannot be adopted as the...