We consider the valuation of a correlation option, a two-factor analog of a European call option, under a Hull-White interest rate model with regime switching. More specifically, the model parameters are modulated by ...We consider the valuation of a correlation option, a two-factor analog of a European call option, under a Hull-White interest rate model with regime switching. More specifically, the model parameters are modulated by an observable, continuous-time, finite-state Markov chain. We obtain an integral pricing formula for the correlation option by adopting the techniques of measure changes and inverse Fourier transform. Numerical analysis, via the fast Fourier transform, is provided to illustrate the practical implementation of our model.展开更多
Numerous firms adopted executive stock options plan for their executives. This study examines empirically the hypothesis that stock options help to improve the firml＇s operating performance. The empirical tests revea...Numerous firms adopted executive stock options plan for their executives. This study examines empirically the hypothesis that stock options help to improve the firml＇s operating performance. The empirical tests reveal a positive relation between the stock options and performance; also indicate that there is a positive relation between quantity of manager＇s stock options and firm＇s size.展开更多
基金This work was supported by the National Natural Science Foundation of China （Grant Nos. 11501211, 11571113, 11231005）, the Program of Shanghai Subject Chief Scientist （14XD1401600）, the 111 Project （B14019）, the Shanghai Pujiang Program （15PJC026）, the Shanghai Philosophy Social Science Planning Office Project （2015EJB002）, the China Postdoctoral Science Foundation （2015M581564）, and the Shanghai Chenguang Plan （15CG22）.
文摘We consider the valuation of a correlation option, a two-factor analog of a European call option, under a Hull-White interest rate model with regime switching. More specifically, the model parameters are modulated by an observable, continuous-time, finite-state Markov chain. We obtain an integral pricing formula for the correlation option by adopting the techniques of measure changes and inverse Fourier transform. Numerical analysis, via the fast Fourier transform, is provided to illustrate the practical implementation of our model.
文摘Numerous firms adopted executive stock options plan for their executives. This study examines empirically the hypothesis that stock options help to improve the firml＇s operating performance. The empirical tests reveal a positive relation between the stock options and performance; also indicate that there is a positive relation between quantity of manager＇s stock options and firm＇s size.
