Britten-Jones and Neuberger (2000) derived a model-free implied volatility under the
diffusion assumption. In this article, we extend their model-free implied volatility to asset price …

Operating performance and stock return results imply that managers who commit fraud
anticipate large stock price declines if they were to report truthfully, which would cause greater …

We examine the value and incentive effects of six nontraditional executive stock options:
premium options, performance-vested options, repriceable options, purchased options, reload …

The Chicago Board Options Exchange (CBOE) recently redesigned its widely followed VIX
volatility index. While the new VIX is conceptually more appealing than its predecessor, the …

We design and derive a pricing model for an executive stock option with a strike price indexed
to a benchmark and investigate its valuation and incentive implications. In both up and …

This paper examines pricing in the market for depositary receipts, securities designed to
track the performance of a stock index that trade like shares of stock. Arbitrage costs are low …

This paper investigates the performance of US and country exchange traded funds currently
traded in the United States and provides new insight into their pricing. While the US funds …

Researchers have reported mispricing in index options markets. This study further
examines the efficiency of the S&P 500 index options market by testing theoretical pricing …

We examine the relation between executive compensation and corporate fraud. Executives
at fraud firms have significantly larger equity-based compensation and greater financial …

Using a utility-maximization framework, I show that the incentive to increase stock price
does not always increase as more options are granted. Keeping the total cost of his …