{"id":92975,"date":"2018-03-11T10:12:08","date_gmt":"2018-03-11T10:12:08","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/three-essays-on-executive-stock-options\/"},"modified":"2018-03-11T10:12:08","modified_gmt":"2018-03-11T10:12:08","slug":"three-essays-on-executive-stock-options","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/modelos-econometricos\/three-essays-on-executive-stock-options\/","title":{"rendered":"Three essays on executive stock options"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Antonio Vaello Sebastia <\/strong><\/h2>\n<p>Esta tesis profundiza en el an\u00e1lisis de las opciones que se entregan a los directivos de las empresas como instrumento de retribuci\u00f3n variable.  la tesis consta de 3 cap\u00edtulos, y se pueden agrupar en 2 partes. La primera parte comprende el primer cap\u00edtulo, y la segunda parte los dos \u00faltimos cap\u00edtulos.     en la primera parte se analizan los efectos que tiene una volatilidad cambiante en el tiempo, dentro de marco garch, en la valoraci\u00f3n objetiva de las stock options. Se obtienen sesgos significativos cuando se comparan los resultados bajo volatilidad cambiante con los resultados bajo volatilidad constante. Adem\u00e1s se desarrolla un an\u00e1lisis de sensibilidad encontrando que el tama\u00f1o de ese sesgo depende del periodo de carencia de la opci\u00f3n, la probabilidad de abandono de la empresa por parte del directivo y la vida de la opci\u00f3n. Adem\u00e1s se analiza un caso real y se muestra como obtener los intervalos de confianza para los precios estimados.     en la segunda parte de la tesis se analiza la valoraci\u00f3n subjetiva de la tesis, es decir, desde el punto de vista de un directivo que es averso al riesgo (no es riesgo neutral) y est\u00e1 mal diversificado. La principal contribuci\u00f3n de esta segunda parte es un algoritmo basado en simulaciones que permite obtener el valor subjetivo de la stock option a trav\u00e9s del equivalente cierto.     en concreto, en el cap\u00edtulo 2 presentamos el algoritmo y consideramos el caso de una s\u00f3la variable estado. Adem\u00e1s mostramos la flexibilidad del algoritmo permitiendo que la volatilidad siga un proceso de cambio de r\u00e9gimen markoviano. En el capitulo 3 extendemos el algoritmo para considerar 2 variables estado (precio de la acci\u00f3n y valor de la cartera de mercado). En este segundo caso m\u00e1s completo, desarrollamos un an\u00e1lisis de sensibilidad, estudiamos los incentivos que genera la stock option y vemos tambi\u00e9n las implicaciones contables.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Three essays on executive stock options<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Three essays on executive stock options <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Antonio Vaello Sebastia <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Pa\u00eds vasco\/euskal herriko unibertsitatea<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 24\/04\/2009<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h3>Direcci\u00f3n y tribunal<\/h3>\n<ul>\n<li><strong>Director de la tesis<\/strong>\n<ul>\n<li>Angel Leon Valle<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: gonzalo Rubio irigoyen <\/li>\n<li>Manuel Moreno fuentes (vocal)<\/li>\n<li>alfonso Novales cinca (vocal)<\/li>\n<li>Miguel angel Martinez sedano (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Antonio Vaello Sebastia Esta tesis profundiza en el an\u00e1lisis de las opciones que se entregan a los [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center 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