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Executive Stock Options

Jennergren and Nasland (1993) formula is used for pricing executive stock options. This formula takes into account that that employee could lose their options due to leaving employment.

where

and where

c = Price of European call

p = Price of European put

= the jump rate per year

S = The spot of the underlying asset

b = The cost of carry

r = The risk free rate

T = Time to expiry of the option

= Volatility of underlying asset's price

 

See Also

oX_ExecStockOptn( ) Function

oX_ExecStockOptn_Imp( ) Function

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