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Non-qualified stock option

About: Non-qualified stock option is a research topic. Over the lifetime, 2448 publications have been published within this topic receiving 122533 citations.


Papers
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Journal ArticleDOI
TL;DR: In this paper, a theoretical valuation formula for options is derived, based on the assumption that options are correctly priced in the market and it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks.
Abstract: If options are correctly priced in the market, it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks. Using this principle, a theoretical valuation formula for options is derived. Since almost all corporate liabilities can be viewed as combinations of options, the formula and the analysis that led to it are also applicable to corporate liabilities such as common stock, corporate bonds, and warrants. In particular, the formula can be used to derive the discount that should be applied to a corporate bond because of the possibility of default.

28,434 citations

Book
01 Jan 1989
TL;DR: The Black-Scholes analysis of stock option prices was used in this paper to model the behavior of stock prices and the Yield Curve of stock options, as well as the Black's model for option pricing.
Abstract: Contents: Introduction. Futures Markets and the Use of Futures for Hedging. Forward and Futures Prices. Interest Rate Futures. Swaps. Options Markets. Properties of Stock Option Prices. Trading Strategies Involving Options. Introduction to Binomial Trees. Model of the Behavior of Stock Prices. The Black-Scholes Analysis. Options on Stock Indices, Currencies, and Futures Contracts. General Approach to Pricing Derivatives. The Management of Market Risk. Numerical Procedures. Interest Rate Derivatives and the Use of Black's Model. Interest Rate Derivatives and Models of the Yield Curve. Exotic Options. Alternatives to Black-Scholes for Option Pricing. Credit Risk and Regulatory Capital. Review of Key Concepts.

6,873 citations

Journal ArticleDOI
TL;DR: In this article, an option pricing formula was derived for the more general case when the underlying stock returns are generated by a mixture of both continuous and jump processes, and the derived formula has most of the attractive features of the original Black-Scholes formula.

5,812 citations

Journal ArticleDOI
TL;DR: In this paper, the authors studied the association between a firm's stock returns and subsequent top management changes and found that there is an inverse relation between the probability of a management change and the firm's share performance.

1,723 citations

Journal ArticleDOI
TL;DR: In this paper, the authors investigated the relationship between aggregate stock market trading volume and the serial correlation of daily stock returns and found that the first-order daily return autocorrelation tends to decline with volume.
Abstract: This paper investigates the relationship between aggregate stock market trading volume and the serial correlation of daily stock returns. For both stock indexes and individual large stocks, the first-order daily return autocorrelation tends to decline with volume. The paper explains this phenomenon using a model in which risk-averse "market makers" accommodate buying or selling pressure from "liquidity" or "noninformational" traders. Changing expected stock returns reward market makers for playing this role. The model implies that a stock price decline on a high-volume day is more likely than a stock price decline on a low-volume day to be associated with an increase in the expected stock return.

1,645 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
20232
20228
20212
20191
201812
201777