Antoni Vaello-Sebastià

University of the Balearic Islands

Crtra. Valldemossa, km 7.5

Ed. Ramon Llull

Palma de Mallorca, Illles Balears 07122

Spain

SCHOLARLY PAPERS

7

DOWNLOADS

575

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (7)

1.

Supercointegrated

Number of pages: 51 Posted: 21 Jul 2017 Last Revised: 27 Nov 2017
Isabel Figuerola-Ferretti, Pedro Serrano, Tao Tang and Antoni Vaello-Sebastià
Comillas Pontifical University, University Carlos III of Madrid - Department of Business Administration, Jinan University and University of the Balearic Islands
Downloads 553 (50,790)

Abstract:

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Supercointegrated pairs; Pairs trading; Risk-return relationship

2.

Can We Really Discard the Forecasting Ability of Risk-Neutral Distributions?

Number of pages: 42 Posted: 20 Nov 2017
Antoni Vaello-Sebastià and M. Magdalena Vich-Llompart
University of the Balearic Islands and University of the Balearic Islands
Downloads 22 (529,182)

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Risk-Neutral Density; Options; Log-Normal Mixtures; Splines

3.

Does Stock Return Predictability Affect ESO Fair Value?

European Journal of Operational Research, vol. 223
Posted: 30 Jun 2017
Julio Carmona, Angel Leon and Antoni Vaello-Sebastià
Independent, Universidad de Alicante and University of the Balearic Islands

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Executive Stock Options, Risk Aversion, Undiversification, Predictability, FAS123R

4.

Pricing Executive Stock Options Under Employment Shocks

Journal of Economic Dynamics and Control, Vol. 35, No. 1, 2011
Posted: 30 Jun 2017
Julio Carmona, Angel Leon and Antoni Vaello-Sebastià
Independent, Universidad de Alicante and University of the Balearic Islands

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Executive stock options, Risk aversion, Undiversification, Incentives, FAS123R

5.

Market Valuation of Employee Stock Options: The Spanish Case

Spanish Review of Financial Economics, vol. 21
Posted: 30 Jun 2017
Raul Iniguez, Antoni Vaello-Sebastià and Pablo J. Vazquez Veira
University of Alicante - Accounting and Finance Department, University of the Balearic Islands and University of Alicante - Finance & Accounting

Abstract:

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Employee Stock Options, Market Valuation, binomial trees

6.

A Simulation-Based Algorithm for American Executive Stock Option Valuation

Finance Research Letters, Vol. 7, No. 1, 2010
Posted: 30 Jun 2017
Angel Leon and Antoni Vaello-Sebastià
Universidad de Alicante and University of the Balearic Islands

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Executive stock options, Monte Carlo, Risk aversion, Fair value, Indexed strike

7.

American GARCH Employee Stock Options Valuation

Journal of Banking and Finance, Vol. 33, No. 6, 2009
Posted: 30 Jun 2017
Angel Leon and Antoni Vaello-Sebastià
Universidad de Alicante and University of the Balearic Islands

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Employee Stock Options, GARCH, Least Squares Monte Carlo, Fair Value

Other Papers (2)

Total Downloads: 7
1.

American GARCH Employee Stock Option Valuation

EFA 2008 Athens Meetings
Number of pages: 42 Posted: 26 Feb 2008
Angel Leon and Antoni Vaello-Sebastià
affiliation not provided to SSRN and University of the Balearic Islands
Downloads 5

Abstract:

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Employee Stock Option, GARCH, Least-Squares Monte Carlo, fair value, FAS 123

2.

Valuing Employee Stock Options Through Simulations

Number of pages: 28 Posted: 04 Mar 2007
Angel Leon and Antoni Vaello-Sebastià
Universidad de Alicante and University of the Balearic Islands
Downloads 2

Abstract:

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employee stock options, simulations, volatility