Publications

January 1995
Case

Keller Fund's Option Investment Strategies, The

By: W. Carl Kester

A closed-end mutual fund's decision to study option trading provides an opportunity to study the profit profile and pricing of multiple option investment strategies (e.g., buy a call, buy a put, write a call, buy stock-write call, etc.). This case is designed to... View Details

Keywords: Investment Funds; Stock Options; Profit; Price; Strategy; Financial Services Industry

October 2001 (Revised February 2007)
Background Note

Accounting for Employee Stock Options

Employees who have been granted stock options have the right to purchase shares of their company's stock at a specified price within a specified time period. The accounting for such employee stock options has been a controversial and complex topic for decades. The... View Details

Keywords: Employee Stock Ownership Plan; Accounting

Web

The Spread and Adoption of Option Pricing Models - Option Pricing in Theory & Practice: The Nobel Prize Research of Robert C. Merton - Exhibits - Historical Collections

HBS Quick Links HBS Home MBA Executive Education Doctoral Programs Faculty and Research Alumni Publishing Site Index HBS Home Contact Us Map/Directions Option Pricing in Theory & Practice: The Nobel Prize... View Details

April 2005 (Revised February 2006)
Background Note

Note on Option Valuation

For every option, a fair price has to be established. But how do you actually price an option? Assuming a basic knowledge of options, this note covers two pricing methods: the binominal tree and the Black-Scholes/Merton formula. View Details

Keywords: Valuation; Stock Options

10 Sep 2009
News

We Don't Need a Public Option

Web

Option Pricing in Theory & Practice: The Nobel Prize Research of Robert C. Merton

HBS Quick Links HBS Home MBA Executive Education Doctoral Programs Faculty and Research Alumni Publishing Site Index HBS Home Contact Us Map/Directions Option Pricing in Theory & Practice: The Nobel Prize... View Details

2025
Working Paper

How Do Households Suppress the Price of Tail Risk?

By: Laurent Calvet, Claire Célérier, Gordon Liao and Boris Vallée

This paper investigates the effects of the issuance of retail products with non-linear payoffs on option prices. For a given underlying asset, when the outstanding volume of products embedding a short-put position increases, implied volatility at the corresponding... View Details

Keywords: Security Design; Dividend; Options; Structured Products; Market Segmentation; Financial Instruments; Design; Volatility; Markets; Segmentation

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09 May 2000
Research & Ideas

Stock Options Are Not All Created Equal

years of weak performance (and low stock values). To see how that works, let's look at the pay of a hypothetical CEO whom I'll call John. As part of his pay plan, John receives $1 million in at-the-money options each year. In the first... View Details

Keywords: by Brian Hall

May 2009
Teaching Note

Nextel Partners: Put Option (TN)

By: Timothy A. Luehrman

Teaching Note for [207-128] View Details

Keywords: Business and Shareholder Relations; Voting; Price; Public Ownership; Valuation; Financial Liquidity; Stock Options; Management Practices and Processes; Telecommunications Industry

2001
Working Paper

Do Underwater Executive Stock Options Still Align Incentives? The Effect of Stock Price Movements on Managerial Incentive-Alignment

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February 1995
Teaching Note

Corporate Financial Management: Options Exercises (TN)

By: Timothy A. Luehrman

Teaching Note for (9-293-095). View Details

Keywords: Decisions; Price; Stock Options; Theory; Investment; Corporate Finance

2008
Simulation

Pricing Simulation: Universal Car Rental

By: John T. Gourville

This web-based simulation presents an engaging context in which students develop their knowledge of pricing by managing a rental car operation (Universal) in Florida and improve regional performance by developing a pricing strategy. The simulation involves three... View Details

Keywords: Competition; Consumer Behavior; Price; Profit; Renting or Rental; Auto Industry; Service Industry; Miami; Orlando; Tampa