Working Papers

ESO Valuation

ESO Valuation – Blackout Periods

ESO Valuation – Expected Volatility and Interest Rate Assumptions

ESO Valuation – Factors Affecting Exercise Behavior

ESO Valuation – Ingersoll Model

ESO Valuation – SOEF, Exit Rate and Duration Explained

ESO Valuation – Suboptimal Exercise Behavior

ESO Valuation – Unique Characteristics

SBP Valuation

SBP Valuation – Performance Price Target Options

SBP Valuation – Relative Total Shareholder Return Plans

SBP Valuation – TSR Reinvestment of Dividend Distributions

Valuation Models

Black-Scholes Illustrated

Derivative Valuation – Foreign-Denominated Assets

Derivative Valuation – GramCharlier

Exercise Behavior – Galai Method

Mean-Reversion Jump-Diffusion

Optimal Early Exercise

Option Market Risk Management

Options Manufacturing

Risk Neutral Valuation

Data Collection and Parameter Estimation

Beta Analysis

Dividend Adjusted Stock Prices

Implied Volatility Trees

Parameters Estimation

Real Options – Capital Budgeting

Other Topics

Employee Stock Purchase Plan

Excel Reference – Statistics Functions

MC Simulations for Stock Paths

Mixture of Normal Distributions

Normality and Independence Testing

Perpetual Warrant Paradox

Price Distribution Case Study

Random Number Generators

Stochastic Stock Price Modeling

VaR for Long/Short Positions

Variable Metric Minimization

Volatility Term Structure

Warrant Valuation Methods

Questions and comments regarding MITI Working Papers should be directed to Sorin Straja, PhD.