Incentives of stock option based compensation

Agliardi, Elettra ; Andergassen, Rainer (2003) Incentives of stock option based compensation. Bologna: Dipartimento di Scienze economiche DSE, p. 9. DOI 10.6092/unibo/amsacta/4836. In: Quaderni - Working Paper DSE (458). ISSN 2282-6483.
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Abstract

We introduce explicitly the effort as a choice variable in a continuous time utility maximisation framework of an executive who is partly compensated with stock options. We solve the model in the case where the executive is not allowed to trade in the company’s stock but is able to achieve a partial insurance through trading in a correlated market portfolio. We define the executive’s value of the options through a certainty equivalence approach both in the case of European call options and nonstandard capped stock options and study the behaviour of the reservation price as relevant parameters change.

Abstract
Tipologia del documento
Monografia (Working paper)
Autori
AutoreAffiliazioneORCID
Agliardi, Elettra
Andergassen, Rainer
Parole chiave
incentives, executive stock options, unhedgeable risks, utility maximisation, non-standard options compensation.
Settori scientifico-disciplinari
ISSN
2282-6483
DOI
Data di deposito
14 Mar 2016 16:09
Ultima modifica
14 Mar 2016 16:09
URI

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