Call options with concave payoffs: An application to executive stock options

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dc.contributor.authorBae, Kwangilko
dc.contributor.authorKang, Jangkooko
dc.contributor.authorKim, Hwa-Sungko
dc.date.accessioned2018-08-20T07:47:20Z-
dc.date.available2018-08-20T07:47:20Z-
dc.date.created2018-08-01-
dc.date.created2018-08-01-
dc.date.issued2018-08-
dc.identifier.citationJOURNAL OF FUTURES MARKETS, v.38, no.8, pp.943 - 957-
dc.identifier.issn0270-7314-
dc.identifier.urihttp://hdl.handle.net/10203/244820-
dc.description.abstractWe observe that the incentive effects of traditional stock options can be improved by making the option's payoff concave in the region of a high stock price at maturity. To reflect the concave property, we propose two types of executive stock options: a generalized power option and an ordinary bull spread. Under the [Hall and Murphy (): American Economic Review 209-214, Hall and Murphy () Journal of Accounting and Economics 33: 3-42] framework, we show that the generalized power option with high concavity and the ordinary bull spread generate greater incentive effects than those of traditional options or the [Bernard, Boyle, and Chen (): The Journal of Derivatives 23: 9-20] power executive options.-
dc.languageEnglish-
dc.publisherWILEY-
dc.subjectCOMPENSATION-
dc.subjectVALUATION-
dc.subjectEXERCISE-
dc.subjectPRICES-
dc.titleCall options with concave payoffs: An application to executive stock options-
dc.typeArticle-
dc.identifier.wosid000437837900006-
dc.identifier.scopusid2-s2.0-85045915403-
dc.type.rimsART-
dc.citation.volume38-
dc.citation.issue8-
dc.citation.beginningpage943-
dc.citation.endingpage957-
dc.citation.publicationnameJOURNAL OF FUTURES MARKETS-
dc.identifier.doi10.1002/fut.21924-
dc.contributor.localauthorKang, Jangkoo-
dc.contributor.nonIdAuthorBae, Kwangil-
dc.contributor.nonIdAuthorKim, Hwa-Sung-
dc.description.isOpenAccessN-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorbull spread-
dc.subject.keywordAuthorconcave payoff-
dc.subject.keywordAuthorexecutive value-
dc.subject.keywordAuthorincentive effect-
dc.subject.keywordAuthorlog option-
dc.subject.keywordAuthorpower option-
dc.subject.keywordPlusCOMPENSATION-
dc.subject.keywordPlusVALUATION-
dc.subject.keywordPlusEXERCISE-
dc.subject.keywordPlusPRICES-
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