JUSTE VALEUR ET RISQUE DE MODELE: LE CAS DE LA VALORISATION DES STOCK-OPTIONS

Jean-François Casta () and Hamza Bahaji ()
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Jean-François Casta: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Hamza Bahaji: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Abstract: Fair value is recommended by the international accounting standards for the valuation of several financial instruments including stock options (IFRS 2). Our contribution aims to outline the limits of the stock options standard valuation models related to their underlying behavioural assumptions. It suggests an alternative behavioural representation relying on the Prospect Theory (Kahneman et Tversky, 1979, 1992). This approach would lead to more relevant fair value assessment.

Keywords: Fair value; Stock option valuation model; Expected utility theory; Prospect theory; Behavioral approach; Juste valeur; Modèle d’évaluation des stock-options; Théorie de l’utilité espérée; Théorie des perspectives; Approche comportementale (search for similar items in EconPapers)
Date: 2014-05-27
Note: View the original document on HAL open archive server: https://hal.science/hal-01899601v1
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Published in Mesure, évaluation, notation – les comptabilités de la société du calcul, May 2014, Lille, France. pp.cd-rom

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