Executive Stock Option Pricing in China Under Stochastic Volatility

Terence Tai Leung Chong, Yue Ding and Yong Li ()

Journal of Futures Markets, 2015, vol. 35, issue 10, 953-960

Abstract: In this article, on the basis of stochastic volatility (SV) models, we extend the approach of option pricing for executive stock options (ESOs) under FAS 123. Based on this extension, a sample of Chinese listed companies’ ESOs are priced. We analyze the effect of the some important financial variables on the implementation of ESOs. It is found that in China, firms with higher market risk and larger size are likely to have a higher ESO proportion in their executive incentive plans. The effects of the book‐to market ratio, stock price volatility, executive shareholding proportion, and the leverage ratio are also examined. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:953–960, 2015

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://hdl.handle.net/

Related works:
Working Paper: Executive Stock Option Pricing in China under Stochastic Volatility (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:35:y:2015:i:10:p:953-960

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().