This paper looks at the timing chosen by CEOs to exercise their stock options and to sell their shares of stock … exercise their options and/or sell their shares, and when other top managers should. Using a tournament approach we find that … other top executives should exercise their stock options later than the CEO. We test this model using an unique data set of …

implicites dans le prix des options; les VaR sont également vérifiées et comparées. …

index options. We find reductions of over 50 percent in the root mean squared error of the PBS model when the estimation and … être utilisée pour l'estimation et l'évaluation des modèles d'évaluation d'options? Plusieurs fonctions différentes ont été … Black-Scholes du praticien (PBS) aux options de l'index S&P500. Nous trouvons des réductions de plus de 50 pourcent de la …

This paper uses asymmetric heteroskedastic normal mixture models to fit return data and to price options. The models …, and allow for substantial negative skewness and time varying higher order moments of the risk neutral distribution. When … forecasting out-of-sample a large set of index options between 1996 and 2009, substantial improvements are found compared to …

models, and we provide a feasible way to price options in this framework. Our framework can be used irrespective of the … options on the minimum of two indices. Our results show that not only is correlation important for these options but so is … cette catégorie et examinons leur potentiel en matière de fixation du prix des options. Plus précisément, nous établissons …

In this paper we propose a generic procedure for estimating and pricing options in the context of stochastic volatility … the univariate approach only involving options by and large dominates. A by-product of this finding is that we uncover a … via the conditional kurtosis to price options. This is the case for some long-term options. Moreover, having estimated …

Unlike European-type derivative securities, there are no simple analytic valuation formulas for American options, even … formule analytique simple pour évaluer les options américaines, même si la volatilité de l'actif sous-jacent est supposée …