The effect of exercise date uncertainty on employee stock option value

Journal of Business Finance and Accounting

Volumn 30, Issue 5-6, 2003, Pages 669-698

  Maris, Brian A ^a   Maris, Jo Mae ^a   Yang, Tyler T ^b  

^a NORTHERN ARIZONA UNIVERSITY   (United States)

^b Integrated Financial Engineering Inc   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 26844502745     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/1468-5957.05390     Document Type: Article

References (20)

1. Black, F. (1976), 'The Pricing of Commodity Contracts', Journal of Financial Economics, Vol. 3, No. 1, pp. 167-79.
2. Carpenter, J. (1998), 'The Exercise and Valuation of Executive Stock Options', Journal of Financial Economics, Vol. 48, No. 2, pp. 127-58.
3. Chen, R. and T. Yang (1995), 'The Relevance of Interest Rate Processes in Pricing Mortgage-Backed Securities', Journal of Housing Research, Vol. 6, No. 2, pp. 315-32.
4. Cox, J.C. and M. Rubinstein (1985), Options Markets (Prentice-Hall, Inc. Englewood Cliffs, NJ).
5. Cuny, J.C. and P. Jorion (1995), 'Valuing Executive Stock Options With Endogenous Departure', Journal of Accounting and Economics, Vol. 20, pp. 193-205.
6. Financial Accounting Standards Board (1995), Statement of Financial Accounting Standards No. 123, Accounting for Stock-Based Compensation.
7. Foster, T.W. III, P.R. Koogler and D. Vickrey (1991), 'Valuation of Executive Stock Options and the FASB Proposal', The Accounting Review, Vol. 66, No. 3 (July), pp. 595-610.
8. Hemmer, T., S. Matsunaga and T. Shevlin (1994), 'Estimating the 'Fair Value' of Employee Stock Options with Expected Early Exercise', Accounting Horizons, Vol. 8, No. 4 (December), pp. 23-42.
9. Hemmer, T., S. Matsunaga and T. Shevlin (1996), 'The Influence of Risk Diversification on the Early Exercise of Employee Stock Options by Executive Officers', Journal of Accounting and Economics, Vol. 21, pp. 45-68.
10. Hilliard, J., J. Kau and C. Slawson (1998), 'Valuing Prepayment and Default in a Fixed Rate Mortgage: A Bivariate Binomial Options Pricing Technique', Real Estate Economics, Vol. 26, No. 3, pp. 431-68.
11. Huddart, S. (1994), 'Employee Stock Options', Journal of Accounting and Economics, Vol. 18, No. 2 (September), pp. 207-31.
12. -and M. Lang (1996), 'Employee Stock Option Exercises: An Empirical Analysis', Journal of Accounting and Economics, Vol. 21, pp. 5-43.
13. Hull, J.C. (1989) Options, Futures and Other Derivative Securities (Prentice-Hall, Englewood Cliffs, NJ).
14. International Accounting Standards Committee (2000), Accounting for Sharebased Payment.
15. Jennergren, L.P. and B. Naslund (1993), 'A Comment on 'Valuation of Executive Stock Options and the FASB Proposal" The Accounting Review, Vol. 68, No. 1 (January), pp. 179-83.
16. McCann, C. (1994), 'How (and Why) Companies Should Value Their Employee Stock Options', Journal of Applied Corporate Finance, Vol. 7, No. 2, pp. 91-99.
17. Nelson, D.B. and K. Ramaswamy (1990), 'Simple Binomial Processes as Diffusion Approximations in Financial Models, ' Review of Financial Studies, Vol. 3, No. 3, pp. 393-430.
18. Rubinstein, M. (1995), 'On the Accounting Valuation of Employee Stock Options', The Journal of Derivatives (Fall), pp. 8-24.
19. Vasicek, O. (1977), 'An Equilibrium Characterization of the Term Structure', Journal of Financial Economics, Vol. 5, No. 2, pp. 177-88.
20. Yang, T.T. and B.A. Maris (1996), 'Mortgage Prepayment with an Uncertain Holding Period', Journal of Real Estate Finance and Economics, Vol. 12, No. 2, pp. 179-94.