We proposed a new model to price employee stock options （ESOs）. The model is based on nonparametric statistical methods with market data. It incorporates the kernel estimator and employs a three-step method to modif...We proposed a new model to price employee stock options （ESOs）. The model is based on nonparametric statistical methods with market data. It incorporates the kernel estimator and employs a three-step method to modify Black- Scholes formula. The model overcomes the limits of Black-Scholes formula in handling option prices with varied volatility. It disposes the effects of ESOs self-characteristics such as non-tradability, the longer term for expiration, the eady exercise feature, the restriction on shorting selling and the employee＇s risk aversion on risk neutral pricing condition, and can be applied to ESOs valuation with the explanatory variable in no matter the certainty case or random case.展开更多
The Contingent Valuation Method is used to evaluate individual preferences for a change concerning a public non-market resource or property. The objective is to build a nonparametric forecasting model of an individual...The Contingent Valuation Method is used to evaluate individual preferences for a change concerning a public non-market resource or property. The objective is to build a nonparametric forecasting model of an individual＇s Willingness To Pay according to geographical location. Within this framework, an estimator （of type Nadaraya-Watson） is proposed for the regression of the variable related to geolocation. The specific characteristics of the location variable lead us to a more general regression model than the traditional models. Results are established for convergence of our estimator.展开更多
基金Funded by the No. 12 Project of Joint Research Projects of Shanghai Stock Exchange with Chongqing University.
文摘We proposed a new model to price employee stock options （ESOs）. The model is based on nonparametric statistical methods with market data. It incorporates the kernel estimator and employs a three-step method to modify Black- Scholes formula. The model overcomes the limits of Black-Scholes formula in handling option prices with varied volatility. It disposes the effects of ESOs self-characteristics such as non-tradability, the longer term for expiration, the eady exercise feature, the restriction on shorting selling and the employee＇s risk aversion on risk neutral pricing condition, and can be applied to ESOs valuation with the explanatory variable in no matter the certainty case or random case.
文摘The Contingent Valuation Method is used to evaluate individual preferences for a change concerning a public non-market resource or property. The objective is to build a nonparametric forecasting model of an individual＇s Willingness To Pay according to geographical location. Within this framework, an estimator （of type Nadaraya-Watson） is proposed for the regression of the variable related to geolocation. The specific characteristics of the location variable lead us to a more general regression model than the traditional models. Results are established for convergence of our estimator.
