42 citations · 144 across the 29 of their papers we have counts for
8 papers · 1 filter
A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options
Tim Leung, Yang Zhou
We propose a new framework to value employee stock options (ESOs) that captures multiple exercises of different quantities over time. We also model the ESO holder's job termination…
ESO Valuation with Job Termination Risk and Jumps in Stock Price
Tim Leung, Haohua Wan
Employee stock options (ESOs) are American-style call options that can be terminated early due to employment shock. This paper studies an ESO valuation framework that accounts for…
Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach
Jinbeom Kim, Tim Leung
This paper studies a valuation framework for financial contracts subject to reference and counterparty default risks with collateralization requirement. We propose a fixed point ap…
Accounting for Earnings Announcements in the Pricing of Equity Options
Tim Leung, Marco Santoli
We study an option pricing framework that accounts for the price impact of an earnings announcement (EA), and analyze the behavior of the implied volatility surface prior to the ev…
Stochastic Modeling and Fair Valuation of Drawdown Insurance
Hongzhong Zhang, Tim Leung, Olympia Hadjiliadis
This paper studies the stochastic modeling of market drawdown events and the fair valuation of insurance contracts based on drawdowns. We model the asset drawdown process as the cu…
Default Swap Games Driven by Spectrally Negative Levy Processes
Masahiko Egami, Tim S. T. Leung, Kazutoshi Yamazaki
This paper studies game-type credit default swaps that allow the protection buyer and seller to raise or reduce their respective positions once prior to default. This leads to the…