Employee Reload Options: Pricing, Hedging, and Optimal Exercise

Review of Financial Studies

Volumn 16, Issue 1, 2003, Pages 145-171

  Dybvig, Philip H ^a   Loewenstein, Mark ^b  

^a WASHINGTON UNIVERSITY IN ST LOUIS   (United States)

^b BOSTON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0037263472     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/16.1.0145     Document Type: Article

References (14)

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2. Beaglehole, D., P. H. Dybvig, and G. Zhou, 1997. "Going to Extremes: Correcting Simulation Bias in Exotic Option Valuation," Financial Analysts Journal, January-February, 62-68.
3. Black, F., and M. Scholes, 1973, "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, 81, 637-654.
4. Cox, J., S. Ross, and M. Rubinstein, 1979, "Option Pricing: A Simplified Approach," Journal of Financial Economics, 7, 229-263.
5. Financial Accounting Standards Board, 1995, "Accounting for Stock-Based Compensation," Statement of Financial Accounting Standards no. 123, Financial Accounting Standards Board.
6. Frederic W. Cook and Company, 1998, "Reload Stock Options - The First Ten Years," working paper, Frederic W. Cook and Company.
7. Gay, C., 1999, "Hard to Lose," Wall Street Journal, April 8, R6.
8. Harrison, J. M., 1985, Brownian Motion and Stochastic Flow Systems, Wiley, New York.
9. Hemmer, T., S. Matsunaga, and T. Shevlin, 1998, "Optimal Exercise and the Cost of Granting Employee Stock Options With a Reload Provision," Journal of Accounting Research, 36, 231-255.
10. Jagannathan, R., 1984. "Call Options and the Risk of Underlying Securities," Journal of Financial Economics, 13, 425-434. See also Jagannathan, R., 1985, "Errata [Call Options and the Risk of Underlying Securities']," Journal of Financial Economics, 14, 323.
11. Jagannathan, R., 1984. "Call Options and the Risk of Underlying Securities," Journal of Financial Economics, 13, 425-434. See also Jagannathan, R., 1985, "Errata [Call Options and the Risk of Underlying Securities']," Journal of Financial Economics, 14, 323.
12. Karatzas, I., and Shreve, S. E., 1991, Brownian Motion and Stochastic Calculus, 2nd ed., Springer-Verlag, New York.
13. Reingold, J., and L. N. Spiro, 1998, "Nice Option if You Can Get It," Business Week, May 4, 111-112.
14. Saly, P. J., R. Jagannathan, and S. J. Huddart, 1999, "Valuing the Reload Features of Executive Stock Options," Accounting Horizons, 13, 219-240.