| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5098765 | Journal of Economic Dynamics and Control | 2011 | 13 Pages |
Abstract
We frame the backdating behavior as a (compound) exotic option, considering both simple and extended models of the underlying ESO-in the latter case we draw on the analytical ESO models of Sircar and Xiong (2007). Post-SOX, we use a Longstaff-Schwartz inspired least squares Monte Carlo approach.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Hans Marius Eikseth, Snorre Lindset,