Accounting for Employee Stock Options: accelerating convergence

Abstract

Hull and White (2004) have developed a lattice pricing model that makes explicit reference to parameters that are not available in Black Scholes (1973) yet are important for the valuation of Employee Stock Options (ESOs).... [ view full abstract ]

Authors

  1. Brian Byrne (Dublin Institute of Technology)
  2. Qianru Shang (Dublin Institute of Technology)

Topic Areas

Optimization , Options

Session

PS » Poster Presentations (11:00 - Monday, 16th July)

Presentation Files

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