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- W2266240532 abstract "In this paper, we develop an executive stock option pricing model with a volatility estimated by SV-GED model, involving both the features of the stock return volatility and the abnormal fluctuation of the stock price at the expiration date. The estimates of the parameters in SV-GED model are given using Markov Chain Monte Carlo method with Shanghai and Shenzhen 300 Index as samples. And the comparison analysis on the option values between classical B-S models and the models with a volatiligy under SV-GED model are offered. The results show that SV-GED model has greater veracity in describing the volatility of stock market return. And great disecrepancy exists between the option values under SV-GED model and B-S model, wihich varies along with the discrepancy between the underlying stock price at the expiration date and the strike price in the option." @default.
- W2266240532 created "2016-06-24" @default.
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- W2266240532 date "2009-10-01" @default.
- W2266240532 modified "2023-09-24" @default.
- W2266240532 title "Stock option pricing and executive stock option incentive compensation" @default.
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