Analysis of a practical formula for the valuation of employee stock options

Applied Economics Letters

Volumn 10, Issue 4, 2003, Pages 205-208

  Veld, C ^a  

^a TILBURG UNIVERSITY   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

STOCK MARKET;

EID: 0037627307     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/13504850210161878     Document Type: Article

References (6)

1. Beckers, S. (1981) Standard deviations implied in option prices as predictors of future stock price volatility, Journal of Banking and Finance, 5, 363-81.
2. Black, F. and Scholes, M. (1973) The pricing of options and corporate liabilities, Journal of Political Economy, 81, 637-54.
3. Brenner, M. and Subrahmanyam, M. G. (1988) A simple formula to calculate the implied standard deviation, Financial Analysts Journal, September/October, 80-3.
4. Clem, A. M. (1997) Employee stock option valuation under SFAS No. 123 and alternative models: evidence from private data, Working Paper, Iowa State University.
5. Hemmer, T., Matsunaga, S. and Shevlin, T. (1996) The influence of risk diversification on the early exercise of employee stock options by executive officers, Journal of Accounting and Economics, 21, 45-68.
6. Merton, R. C. (1973) Theory of rational option pricing, Bell Journal of Economics and Management Science, 4, 141-83.