Search results for "Option"

Toward a stage theory of adaptive social media use : explaining change in facebook use

2018

Existing research on information technology (IT) use has shown that post- adoptive technology use is not a stable but a dynamic phenomenon in which users apply various adaptation behaviors. Users reshape the technology (IT adaptation), adjust their work routines (task adaptation), and change their own behavior (user adaptation) according to the changes induced by IT. Today, people use increasingly social media and other IT for personal purposes. Facebook (FB) is a good example of personal IT that people voluntarily use for years and has become an integral part of people’s everyday lives. Despite extensive research on IT use and IT/user adaptation, we know little about the dynamics of post-a…

Reaalioptiot kiinteistösijoittamisen välineenä

2001

Adoption and Adoption Interests of Self-Tracking Technologies : Single and Multiple Technology Perspectives

2016

During the past few decades, different forms of technology based self-tracking have become increasingly common but received little attention in academic research. In this study, we aim to address this gap by examining the adoption and adoption interests of four different self-tracking technologies: exercise, activity, sleep, and nutrition tracking. The examination is conducted from both single and multiple technology perspectives and by concentrating particularly on the potential gender and age dependencies in the adoption rates and adoption patterns of the technologies. By analysing the responses collected from 824 consumers through an online survey, the results of the study are able to re…

Les normes comptables actuelles permettent-elles une comptabilisation des stock-options à leur juste valeur?

2006

In many countries, executive stock options (ESOs) have been subject to financial scandals during these last years, that encountered for a deep need of transparency, particularly about this compensation device for managers. The aim of this paper is to present, in a first part, the ways of expensing ESOs in through the European IRFS 2 and the American FAS 123 standards. The second part analyses ESOs accounting and its consequences, namely regarding the requirements about measuring this incentive mechanism at its fair value.

Rémunération et finance entrepreneuriale : les enjeux pour la création d'entreprises

2018

LABEL FNEGE, MEILLEUR OUVRAGE DE RECHERCHE 2019; National audience

Motifs et conséquences de l'adoption des stock-options

1999

Cet article présente les justifications théoriques de l'utilisation des stock-options par les firmes et du comportement de leurs bénéficiaires, ainsi que les résultats d'études empiriques venant les étayer ou les réfuter. Il met en évidence les caractéristiques spécifiques (niveaux du prix d'exercice, de la diffusion des options...) des plans adoptés en France dans chaque contexte de référence (mise en place d'un contrat incitatif destiné aux managers, attribution d'une rémunération financièrement et fiscalement avantageuse). De nombreux travaux empiriques montrent que les stock-options peuvent contribuer à orienter le comportement des managers de manière à créer davantage de richesse actio…

Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models

2017

Abstract European options can be priced by solving parabolic partial(-integro) differential equations under stochastic volatility and jump-diffusion models like the Heston, Merton, and Bates models. American option prices can be obtained by solving linear complementary problems (LCPs) with the same operators. A finite difference discretization leads to a so-called full order model (FOM). Reduced order models (ROMs) are derived employing proper orthogonal decomposition (POD). The early exercise constraint of American options is enforced by a penalty on subset of grid points. The presented numerical experiments demonstrate that pricing with ROMs can be orders of magnitude faster within a give…

Reduced Order Models for Pricing American Options under Stochastic Volatility and Jump-diffusion Models

2016

American options can be priced by solving linear complementary problems (LCPs) with parabolic partial(-integro) differential operators under stochastic volatility and jump-diffusion models like Heston, Merton, and Bates models. These operators are discretized using finite difference methods leading to a so-called full order model (FOM). Here reduced order models (ROMs) are derived employing proper orthogonal decomposition (POD) and non negative matrix factorization (NNMF) in order to make pricing much faster within a given model parameter variation range. The numerical experiments demonstrate orders of magnitude faster pricing with ROMs. peerReviewed

Iterative Methods for Pricing American Options under the Bates Model

2013

We consider the numerical pricing of American options under the Bates model which adds log-normally distributed jumps for the asset value to the Heston stochastic volatility model. A linear complementarity problem (LCP) is formulated where partial derivatives are discretized using finite differences and the integral resulting from the jumps is evaluated using simple quadrature. A rapidly converging fixed point iteration is described for the LCP, where each iterate requires the solution of an LCP. These are easily solved using a projected algebraic multigrid (PAMG) method. The numerical experiments demonstrate the efficiency of the proposed approach. Furthermore, they show that the PAMG meth…

IMEX schemes for pricing options under jump–diffusion models

2014

We propose families of IMEX time discretization schemes for the partial integro-differential equation derived for the pricing of options under a jump-diffusion process. The schemes include the families of IMEX-midpoint, IMEX-CNAB and IMEX-BDF2 schemes. Each family is defined by a convex combination parameter [email protected]?[0,1], which divides the zeroth-order term due to the jumps between the implicit and explicit parts in the time discretization. These IMEX schemes lead to tridiagonal systems, which can be solved extremely efficiently. The schemes are studied through Fourier stability analysis and numerical experiments. It is found that, under suitable assumptions and time step restric…