Valuation Methods of Executive Stock Options

• Abstract
  
• The state of the art
  
• 3 The Executive's Optimal Exercise Policy: the general approach
  
  • 3.1 utility-based pricing
    
  • 3.1.2 The general form of the EIP with 1 unit of ESO
    
  • 3.2 The Private Price and its Black & Scholes counterpart
    
    • 3.2.1 Skewness and Kurtosis
      
    • 3.2.2 The perturbative expansion
      
    • 3.3 The optimal trading strategy
      
  • 3.4 The effects of the parameters
    
    • 3.4.1 The Private Price
      
    • 3.4.2 The Optimal Trading Strategy
      
    • 3.4.3 Incentives effect or ESO delta
      
    • 3.4.4 The effect of risk-aversion
      
  • 4 The Executive's Optimal Exercise Policy: Leung & Sircar Approach (2006)
    
    • 4.1 Settings
      
  • 5 ESO cost to the firm
    
    • 5.1 General model for the ESO cost to the firm
      
    • 5.4 An Intensity based model for the firm's cost - Ctivanic, Wiener and Zapatero (2004)
      
• Conclusion
  
• References