Emma B. Rasiel

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We propose a continuous time utility maximization model to value stock and option compensation from the executive's perspective. We allow the executive to invest non-option wealth in the market and riskless asset but not in the company stock itself. This enables executives to adjust exposure to market risk, but they are subject to firm-specific risk for(More)
We compare option valuation models based on regime-switching, GARCH, and jump-diffusion processes to a standard “smile” model, in which Black and Scholes (1973) implied volatilities are allowed to vary across strike prices. The regime-switching, GARCH, and jumpdiffusion models provide significant improvement over a fixed smile model in fitting GBP and JPY(More)
Patients with life-threatening conditions sometimes appear to make risky treatment decisions as their condition declines, contradicting the risk-averse behavior predicted by expected utility theory. Prospect theory accommodates such decisions by describing how individuals evaluate outcomes relative to a reference point and how they exhibit risk-seeking(More)
BACKGROUND The pharmaceutical and medical device industries function in a business environment in which shareholders expect companies to optimize profit within legal and ethical standards. A fundamental tool used to optimize decision making is the net present value calculation, which estimates the current value of cash flows relating to an investment. (More)
Acknowledgements We would like to thank Dr. Emma Rasiel for invaluable advice on everything from financial theory to proper academic writing; this research would not have been possible without her consistent and patient help. In addition, we would like to thank Dr. Lori Leachman for her input on econometric techniques and macroeconomic concerns. Finally, we(More)
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