Macbeth, 1982, "Further Results on the Constant Elasticity of Variance Call Option Pricing Model
", Journal of Financial and Quantitative Analysis, 17:533-554
A 10-period trinomial call option pricing model
is used to find the freely traded price of the ESO.
Because vesting requirements and the nontransferability of employee stock options reduce their value relative to freely traded stock options, the proposed accounting would require adjustments be made to the values provided by traditional option pricing models
to compensate for these differences.
However, one important feature about the Black and Scholes option pricing model
is that all its key factors are observable except volatility of the underlying asset.
The option pricing model
developed in this study suggests that whether insurers change their risk taking depends on an implicit threshold, measured in terms of the capital ratio, at which the sum of the expected regulatory cost and the expected loss of franchise value equals the gain from the put option expropriated from guarantee funds.
Bezdek, "Numerical solutions for option pricing models
including transaction costs and stochastic volatility," Acta Applicandae Mathematicae, vol.
In this paper, we are interested in the option pricing model
with transaction costs proposed by Barles and Soner  that are motivated by Hodges and Neuberger .
Duan, "The GARCH option pricing model
," Mathematical Finance, vol.
By relaxing some of the restrictive assumptions, such as the assumption of constant volatility and the geometric Brownian motion for the price of the underlying asset, many option pricing models
have been proposed.
The intent of developing this option pricing model
is to find out which option will be viable and then to use these option prices as pay-offs in an incomplete game to find the Nash Equilibrium of such a game.
One of the most important things I learned while taking upper-level college finance courses was the BlackScholes option pricing model
. The complex formula, created by Fisher Black and Myron Scholes in 1973, earned Scholes a 1995 Nobel Prize in economics (Black was ineligible for the prize due to his death in 1995), spawned the popularity of derivatives trading and helped usher in the housing bubble and subsequent banking meltdown.
During the same year, the option pricing model
popularized by Fischer Black and Myron Scholes,