Abel Cadenillas, Jaksa Cvitanic, Fernando Zapatero  Home/Search
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Abstract: We consider the problem of an executive that receives call options as compensation. She can influence, with her effort, the stock price. Besides, through the choice of projects, she determines the level of volatility of the stock. The executive is risk-averse and also experiences disutility from the effort. In this framework, we also introduce the problem of the company that simultaneously wants to minimize overtime volatility and maximize final expected value of the price of the stock. We... (Update)
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BibTeX entry: (Update)
@misc{ cadenillas-executive,
author = "Abel Cadenillas and Jaksa Cvitanic and Fernando Zapatero",
title = "Executive Stock Options with Eort Disutility and Choice of Volatility",
url = "citeseer.ist.psu.edu/cadenillas01executive.html" }
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5 The Exercise and Valuation of Executive Stock Options (context) - Carpenter - 1998
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4 Executive Stock Option Plans and Corporate Dividend Policy (context) - Lambert, Lanen et al. - 1989
4 Altering the Terms of Executive Stock Options (context) - Brenner, Sundaram et al. - 2000
3 The Value and Incentive Eects of Nontraditional Executive St.. (context) - Johnson, Tian
3 Does Option Compensation Increase Managerial Risk Appetite (context) - Carpenter - 2000
3 Stock Options for Undiversied Executives (context) - Hall, Murphy
3 Indexed Executive Stock Options (context) - Johnson, Tian
3 Handbook of Labor Economics (context) - Murphy, Executive et al. - 1999
2 Stock Options and Managerial Optimal Contracts (context) - Ase, Santos - 2000
2 The Continuous-Time Principal-Agent Problem: Frequent-Monito.. (context) - Bolton, Harris - 2001
2 Diversication and Incentives (context) - Jin, Compensation - 2000
2 Optimal Exercise Prices for Executive Stock Options (context) - Hall, Murphy
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