Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/159299
Authors: 
Agliardi, Elettra
Andergassen, Rainer
Year of Publication: 
2003
Series/Report no.: 
Quaderni - Working Paper DSE 458
Abstract: 
We introduce explicitly the effort as a choice variable in a continuous time utility maximisation framework of an executive who is partly compensated with stock options. We solve the model in the case where the executive is not allowed to trade in the company's stock but is able to achieve a partial insurance through trading in a correlated market portfolio. We define the executive's value of the options through a certainty equivalence approach both in the case of European call options and nonstandard capped stock options and study the behaviour of the reservation price as relevant parameters change.
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Working Paper

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