Option Exercise Research Articles

Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities

We present new numerical schemes for pricing perpetual Bermudan and American options as well as α-quantile options. This includes a new direct calculation of the optimal exercise boundary for early-exercise options. Our approach is based on the Spitzer identities for general Lévy processes and on the Wiener–Hopf method. Our direct calculation of the price of α-quantile options combines for the first time the Dassios–Port–Wendel identity and the Spitzer identities for the extrema of processes. Our results show that the new pricing methods provide excellent error convergence with respect to computational time when implemented with a range of Lévy processes.

Accrual Management and the Decision to Sell or Hold Shares Acquired from the Exercise of Employee Stock Options

ABSTRACT This study extends the employee stock option literature by examining how the timing of sales of shares acquired at exercise varies with accrual management both before and after the exercise date. We find evidence that accrual management prior to exercise is positively associated with the decision to quickly sell shares after exercise, increasing the profitability of a short-term exercise-and-sell strategy. Alternatively, we find that post-exercise accrual management is associated with executives choosing to delay selling shares, consistent with minimizing personal income taxes. Specifically, our results suggest that executives are more likely to sell immediately after satisfying the minimum (12 month) holding period for long-term capital gain treatment when they have more income-increasing accruals during the holding period. These results expand on prior research that focused on earnings management leading up to option exercise. JEL Classifications: H24; J33; M12; M21; M52. Data Availability: Data are available from the public sources cited in the text.

Market Manipulation Schemes at Option Expiration

This paper discusses market manipulation schemes on option expiration dates. We show that under ordinary circumstances, writers, but not holders, would have an incentive to manipulate the expiration of standard options, but both are incentivized to manipulate cash-settled options. Using our baseline results, we examine profits and incentives for a number of common option strategies. We then discuss a number of novel changes in modern option markets, such as automatic (as opposed to optional) exercise, different methods of calculating settlement prices, and passive exit strategies, and how these innovations affect the incentives to manipulate. Finally, we discuss manipulation for positional as opposed to profit-taking motives and examine several recent regulatory cases involving option manipulation.

Selection of Resistance Exercises for Older Individuals: The Forgotten Variable.

Resistance training has been widely recommended as a strategy to enhance the functional autonomy and quality of life in older individuals. Among the variables that comprise a training session, the selection of exercises stands out as an important consideration for the elderly. Although a wide range of resistance exercise options exists, current guidelines generally do not indicate which exercises should be included and which muscles should be prioritized when prescribing training for older individuals. Therefore, given the lack of evidence-based information on the topic, this paper endeavors to establish recommendations to help guide the prescription of resistance exercises for older adults.

Using the binomial model for the valuation of real options in computing optimal subsidies for Chinese renewable energy investments

Abstract For the valuation and implementation of renewable energy investments, the issue of providing private investors with a financial incentive to accelerate their investment is frequently a critical component. We apply this principle to the Chinese context. This paper focuses on using the binomial model to compute the required subsidy that would incentivize investors to optimal immediate exercise of the American-style option embedded at the launching phase of the projects for Chinese renewable energy investments. In addition, this paper also aims at contrasting the binomial model with the more-laborious Monte Carlo simulation previously used to evaluate the proper subsidy. By using the same data but a different method, and reducing the number of uncertain factors to one, it is suggested these two methods have similar outcomes but the binomial method requires substantially less computation and is more self-explanatory. This paper thus provides government with an easy-to-implement alternative way to compute the required subsidy.

High Intensity Resistance Exercise Training to Improve Body Composition and Strength in Older Men With Osteosarcopenia. Results of the Randomized Controlled Franconian Osteopenia and Sarcopenia Trial (FrOST).

Considerably decreased muscle mass and function are subsumed under “sarcopenia,” a geriatric syndrome. Dedicated exercise programs maintain muscle mass and function; however, due to the limited enthusiasm of older adults to exercise, it is important to generate low-threshold interventions for this vulnerable cohort. Thus, the primary aim of this study was to determine the effect of low volume/high intensity resistance exercise training (HIT-RT) combined with protein supplementation on body composition and strength in older men with sarcopenia and osteopenia (osteosarcopenia). Forty-three community-dwelling (cdw) older men (78 ± 4 years) with osteosarcopenia were randomly allocated to a consistently supervised HIT-RT (n = 21) or an inactive control group (CG, n = 22). HIT-RT scheduled a single set protocol with high intensity and effort applied twice a week for 36 weeks so far. Both groups were supplemented with Vit-D (800 IE/d), calcium (1,000 mg/d) and whey-protein (CG: 1.2 vs. HIT-RT: 1.5–1.7 g/kg/d). Study endpoints were body composition (dual-energy x-ray absorptiometry) and maximum isokinetic hip/leg-extensor strength (MIES) by leg-press. After 36 weeks, one participant who developed prostate cancer after inclusion in the study (HIT-RT) and two participants who lost interest (CG, HIT-RT) quit the study. Attendance rate for HIT-RT averaged 93 ± 5%. Total and thigh lean body mass (LBM) significantly (p < 0.001) increased in the HIT-RT and was maintained in the CG (p = 0.46 and 0.37). Differences between the groups for changes of total and thigh LBM were pronounced (p < 0.001; SMD d′ = 1.17 and 1.20). Total and abdominal body fat percentage decreased significantly in the HIT-RT (p < 0.001) and increased in the CG (p = 0.039 and p = 0.097). Intergroup differences were significant (p < 0.001; SMD: d′ = 1.35 and 1.28). Finally, MIES was maintained in the CG (p = 0.860), and improved significantly (p < 0.001) in the HIT-RT. Differences between the groups were significant (p < 0.001, SMD: d′ = 2.41). No adverse effects of the intervention were observed. In summary, the HIT-RT/protein protocol significantly affected body composition and strength in cdw men 72 years+ with osteosarcopenia. In the absence of negative side effects, the intervention was feasible, attractive and time effective. Thus, we conclude that supervised HIT-RT might be an exercise option for older men.

Fair-value analytical valuation of reset executive stock options consistent with IFRS9 requirements

AbstractExecutive stock options (ESOs) are widely used to reward employees and represent major items of corporate liability. The International Accounting Standards Board IFRS9 financial reporting standard which came into full effect on 1-Jan 2018, along with its Australian implementation AASB9, requires public corporations to report their fair-value cost in financial statements. Reset ESOs are typically issued to re-incentivise employees by allowing the option to be cancelled and re-issued with a lower exercise price or later maturity. We produce a novel analytical Reset ESO valuation consistent with the IFRS9 financial reporting standard incorporating the simultaneous resetting of vesting period, exercise window, reset level and maturity. We allow for voluntary and involuntary exercise. Our analytical result is expressed solely in terms of standardised European binary power option instruments. Using the multi-state mortality model of Hariyanto (2014, Mortality and disability modelling with an application to pricing a reverse mortgage contract, PhD thesis, University of Melbourne), we estimate longitudinal disability and death transition probabilities from cross-sectional data. We determine survival functions for pre-vesting forfeiture or post-vesting involuntary exercise for use with weighted portfolios of our formulae to illustrate the effect of survival on the fair value. We examine the IFRS9 method of valuation using expected time to option exercise and demonstrate a consistent overestimation of fair value of up to 27% for senior executives.

Patient Satisfaction With Diabetes Care in a Student-Run Free Medical Clinic: A Quality Improvement Study.

Background: Diabetes prevalence continues to be a concern and the management of diabetes is important but costly. The prevalence of diabetes is greater among persons with a low income, including those who are uninsured or underinsured. Student-run free clinics (SRFC) are one resource to these patients who may otherwise lack access to medical care. Objective: The purpose of this study was to assess patient satisfaction with diabetes care at a SRFC in order to assist in identifying areas of improvement. Methods: A quality improvement survey was designed to assess patient satisfaction with overall care, as well as with routines and perception of care related to self-management, healthy eating, and exercise. Results: The survey was completed by 25 patients at a Toledo area SRFC. Established patients who were aged 18 years or older and diagnosed with diabetes, were invited to complete the survey. The majority of patients were satisfied with their diabetes care at the SRFC (88%). Fewer patients, however, reported satisfaction with the treatment for their diabetes (72%) and with their knowledge about diabetes (76%). Subanalyses of survey responses also showed significant differences when comparing sex, age, and length of diabetes diagnosis. Conclusions: The survey helped identify key areas in which the diabetes care provided at the SRFC could be improved. These areas included education about diabetes in general, as well as in understanding treatment, self-monitoring, and healthy eating and exercise options. Future research could explore survey results after specifying and implementing changes made to the education provided to the patients.

Perspectives on advance directives in psychiatric practice: A qualitative study from Kerala, India

Context: Advance directive (AD) is being used in psychiatric care in developed countries for the last two decades. Although the AD is bound to offer patient autonomy and beneficence, evidence for its effectiveness and feasibility are limited. By the enactment of the Mental Health Care Act, 2017, India is going to implement AD. Aims: This study aimed to find perspectives on AD in psychiatric practice by different stakeholders in Kerala, India. Subjects and Methods: A qualitative study using focus group discussion and in-depth interview was done among mental health service users such as patients and carers, providers such as psychiatrists, clinical psychologists and psychiatric social workers, and advocates. Transcribed information was coded by R package for Qualitative Data Analysis, a free software. Results: The predominant themes identified were freedom of choice, issues of documentation, suitability in a crisis, apprehension about future care, mental capacity at the time of making the AD, issues about nominated representative, limitations in the exercise of treatment options by doctors, and the possibility of defensive practice in psychiatry. Half of the patients supported the AD, whereas the other half did not. Advocates agreed that patients should be given the freedom to choose and hence supported the AD. Some mental health service providers favored AD, whereas others were apprehensive. Conclusions: Although ADs help patients in preserving their autonomy, many uncertainties, practical issues, and legal issues are to be tackled for its effective implementation.

Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point

We analyze the optimal exercise of an American call executive stock option (ESO) written on a stock whose drift parameter falls to a lower value at a change point, an exponentially distributed random time independent of the Brownian motion driving the stock. Two agents, who do not trade the stock, have differing information on the change point and seek to optimally exercise the option by maximizing its discounted payoff under the physical measure. The first agent has full information and observes the change point. The second agent has partial information and filters the change point from price observations. This scenario is designed to mimic the positions of two employees of varying seniority, a fully informed executive and a partially informed less senior employee, each of whom receives an ESO. The partial information scenario yields a model under the observation filtration $\widehat{\mathbb{F}}$ in which the stock drift becomes a diffusion driven by the innovations process, an $\widehat{\mathbb{F}}$-Brownian motion also driving the stock under $\widehat{\mathbb{F}}$, and the partial information optimal stopping value function has two spatial dimensions. We rigorously characterize the free boundary PDEs for both agents, establish shape and regularity properties of the associated optimal exercise boundaries, and prove the smooth pasting property in both information scenarios, exploiting some stochastic flow ideas to do so in the partial information case. We develop finite difference algorithms to numerically solve both agents' exercise and valuation problems and illustrate that the additional information of the fully informed agent can result in exercise patterns which exploit the information on the change point, lending credence to empirical studies which suggest that privileged information of bad news is a factor leading to early exercise of ESOs prior to poor stock price performance.

Pricing of the Quanto Game Option with Asian Feature

The game option, which is also known as Israel option, is a new type of American option to give the option writer the right to cancel the contract before the maturity. This article studies the pricing behaviors of the quanto game option with Asian features based on partial differential equation and the stochastic analysis. The Asian feature in an option model refers to the payoff of the option depends on both the average asset price over the life of the option. The quanto options (currency-translated foreign equity options) are contingent claims where the payoff depends on exchange rate level at the option exercise time. The Asian quanto game options can be regarded as double-barrier European options for the features that both the holder and the writer can exercises the options contract at any time over the life of the option. We derive the pricing equation and provide the integral expression of pricing formula for the option. The option price is decomposed into the corresponding European option price and the penalty paid by the option writer for an early callable and the penalty paid by the option holder for early exercise of the option. In addition, we discuss optimal exercise strategies and continuation regions of the option.

Demonstrating More Realistic Research Outcomes to Undergraduates in the Organic Teaching Lab: Separation of Product Mixtures, Structure Analysis, and Mechanistic Inquiry

How well does the undergraduate organic chemistry laboratory curriculum prepare students for academic research, or for a bench job in industry? Running experiments that are more representative of research chemistry has the potential to better equip students for working in a research laboratory, while at the same time giving them insight into a typical outcome in a research project. We describe here an experiment that we have launched in the sophomore organic chemistry lab at UC Davis that presents challenges in chromatographic separation, structural assignment by NMR, and mechanistic interpretation. Optional exercises in computational modeling of the NMR data and chromophore analysis by UV–vis/fluorescence measurements are included.

Exercise Effects on Multiple Sclerosis Quality of Life and Clinical-Motor Symptoms.

Different therapies can improve clinical and motor symptoms of multiple sclerosis (MS) similarly, but studies comparing the effects of different exercise therapies on clinical and motor outcomes are scant. We compared the effects of exergaming (EXE), balance (BAL), cycling (CYC), proprioceptive neuromuscular facilitation (PNF), and a standard care wait-listed control group (CON) on clinical and motor symptoms and quality of life (QoL) in people with MS (PwMS). PwMS (n = 68, 90% female; age, 47.0 yr; Expanded Disability Status Scale score 5-6) were randomized into five groups. Before and after the interventions (five times a week for 5 wk), PwMS were tested for MS-related clinical and motor symptoms (Multiple Sclerosis Impact Scale-29 (MSIS-29), primary outcome), QoL (EuroQol Five Dimensions Questionnaire), symptoms of depression, gait and balance ability (Tinetti Assessment Tool), static and dynamic balance and fall risk (Berg Balance Scale), walking capacity (6-min walk test), and standing posturography on a force platform. EXE, BAL, and CYC improved the MSIS-29 scores similarly. EXE and CYC improved QoL and walking capacity similarly but more than BAL. Only EXE improved gait and balance scores (Tinetti Assessment Tool). EXE and BAL improved fall risk and standing balance similarly but more than CYC. PNF and CON revealed no changes. The EuroQol Five Dimensions Questionnaire moderated the exercise effects on the MSIS-29 scores only in EXE. Changes in QoL and changes in the MSIS-29 scores correlated (R = 0.73) only in EXE. In conclusion, BAL and CYC but EXE in particular, but not PNF, can improve clinical and motor symptoms and QoL in PwMS (Expanded Disability Status Scale score 5 to 6), expanding the evidence-based exercise options to reduce mobility limitations in PwMS.

What Does an Executive Stock Sale Tell the Market? Evidence From Sale Transactions Following Stock Option Exercises

We examine the impact of liquidity and diversification, taxes, and loss aversion on the informativeness of insider sales following stock option exercise. We do not find evidence of liquidity and diversification influencing post-sale decisions, suggesting that option-related sales are less impacted by these forces than previously thought. We further find evidence that sales more likely to be influenced by taxes are associated with less negative post-sale returns. This finding extends prior tax research by showing evidence that insiders are selling soon after the tax-advantaged holding period is achieved and also that these sales are less informative about future returns. Finally, we provide a more distinct contribution to the literature in our examination of loss aversion. Specifically, we provide evidence that the exercise price is the most likely reference point for establishing the gain and loss domain for the insider. We further show that as the price approaches this reference point, sales become less informative and insiders are less willing to continue holding. We also examine short-window market reactions to sales among each of these dimensions, finding that the market generally interprets the impact of each of these factors in a manner that is consistent with the post-sale returns.

The effect of exercise on cervical radiculopathy: A systematic review and meta-analysis.

Cervical radiculopathy (CR), which is most often stems from degenerative disease in the cervical spine, has increasingly become a common and frequently occurring disease in clinic due to the popularity of electronic products, such as computes and cell phones. Some studies have shown that exercise or exercise combined with other treatments can effectively decrease pain and improve functional status. The objective was to analyze the effects of exercise for treating patients with CR. Seven databases were searched from inception to December 2018. Randomized controlled trials involving exercise alone or exercise combined with conventional treatment were enrolled. Data were pooled after trials quality assessment for meta-analysis. Outcomes were pain (visual analog scale [VAS]), quality of life (12-short form health survey, 36-short form health survey), and physical function accessed by neck disability index (NDI). Ten studies involving 871 participants with CR were included. Meta-analysis revealed that compared with control group, there was a reduction in VAS (standardized mean difference = -0.89; 95% confidence interval [CI]: -1.34 to -0.44; Z = 3.89; P < .001). There was also an improvement of NDI (mean difference = -3.60; 95% CI: -6.27 to -0.94; Z = 2.65; P = .008)]. Additionally, although the results of subgroup analyses were changed due to the paucity of the quantity and quality of the included studies. The pooled results were verified to be stable by sensitivity analyses. Besides, the grading of recommendations assessment, development, and evaluation level of evidence is low for each outcome. Exercise alone or exercise plus other treatment may be helpful to patients with CR. However, exercise option should be carefully considered for each patient with CR in accordance with their different situations. Large-scale studies using proper methodology are recommended.

Investigation the EMG Activities of Lower Limb Muscles When Doing Squatting Exercise in Water and on Land.

(1) Background: Squatting is one of the common closed-kinetic chain (CKC) exercises for knee rehabilitation. Some patients cannot perform squatting exercises on land occasionally due to knee pain. Several studies had suggested that lower limb muscle activities are lower in water than on land while performing CKC exercises. The purpose of this study is to investigate the surface electromyography (sEMG) activities of Rectus femoris (RF) and Biceps femoris (BF) muscles when doing a squatting exercise in water and on land. (2) Methods: This was a cross-sectional experimental study. A total of 20 healthy participants (10 males, 10 females) were recruited by convenience sampling. The sEMG of RF and BF muscles in water and on land were collected and the knee motions were videotaped. Participants were instructed to perform closed kinetic-chain back squatting exercises at a specific speed (30 beats per minute) in water and on land at angular speed of 45°/s. Eight repetitions of the squatting exercise (0–90° knee flexion) were performed. The mean percentage maximal voluntary contraction (%MVC) between two muscles was compared in two conditions. The %MVC of RF and BF muscles at different specific knee flexion angles (30°, 60° and 90° knee flexion) was also identified. (3) Result: Muscle activities of RF (p = 0.01) and BF (p < 0.01) muscles were significantly lower in water than on land. The %MVC of RF and BF muscles was found to be 15.01% and 10.68% lower in water than on land respectively. For different knee angle phases, the differences in %MVC between land and water had significant difference for both RF muscles and BF muscles. (4) Conclusion: This study found a difference of mean percentage MVC of RF and BF muscles between land and water in different phases of squatting. The water medium reduced the two muscles’ activities to a similar extent. The result showed that the aquatic environment allows an individual to perform squatting with less muscle activation which may serve as an alternative knee exercise option for patients who encounter difficulty in land squatting due to lower limb muscle weakness or a high level of knee pain.

Back in the Day: Nostalgia Frames Rural Residents’ Perspectives on Diet and Physical Activity

ObjectiveTo observe and interpret cultural influences on health behaviors in a rural area with a high prevalence of obesity. DesignDescriptive, qualitative study. SettingLenoir County, NC, US. ParticipantsFour focus groups (n = 33) were conducted. Participants were 76% African American and with an average of 25 years of county residence. Phenomenon Of InterestDiet, physical activity, environment AnalysisContent analysis and thematic data analysis to identify key themes using qualitative analysis software. ResultsParticipants frequently evoked nostalgia to frame recurrent themes including decreased opportunities for physical activity and changing food access and preparation in the community, contrasting with memories of enjoying local produce and safe outdoor recreation. They interpreted present health behaviors in the context of these past losses. Conclusions and ImplicationsNostalgia is an important element in our participants’ cultural repertoires, revealing elements of place-based culture. Nostalgic narratives may foster a sense of reduced options for healthy eating and exercise by over-emphasizing loss. The incorporation of place-specific obesogenic cultural factors, including the way residents juxtapose past and present, may improve obesity interventions in rural settings.

Integration between volumetric change and strain for describing the global mechanical function of the left ventricle

IntroductionEvaluations of left ventricular systolic function based on ejection fraction (EF) alone are unable to recognize impaired myocardial performance in some dysfunctional states, and strain parameters are often invoked for an improved description of cardiac contraction. A comprehensive framework integrating deformation measures with volumetric changes is therefore necessary. MethodsThis study presents a general mathematical background that confirms and generalizes a previously proposed framework relating volumetric changes and strain values. The model is then validated with 5450 data samples made of LV volume, global longitudinal strain (GLS) and global circumferential strain (GCS) from 109 heterogeneous subjects who underwent cardiac magnetic resonance imaging. The GCS was measured by either three short-axis slices or 3D LV geometry reconstructed from 3 long-axis slices. ResultsResults demonstrated the reliability of the relationship EF = 1 − (GLS + 1)(GCS + 1)2. Accuracy is higher (correlation coefficient r = 0.997) when GCS is obtained by 3D deformation, although it remains high (r = 0.98) when GCS is measured from short-axis slices. However, the latter may underestimate (about 10% in relative terms) the circumferential deformation due to through-plane motion. ConclusionsThe accuracy of this relationship permits a unitary description of LV systolic function in terms of both EF and global strain values by its position on the strain plane (GLS, GCS). This also allows to monitor pathologic or healing changes, as a consequence of exercise, drugs, surgery or other therapeutic options, as trajectories on that plane.

What Does an Executive Stock Sale Tell the Market? Evidence From Sale Transactions Following Stock Option Exercises

We examine the impact of liquidity and diversification, taxes, and loss aversion on the informativeness of insider sales following stock option exercise. We do not find evidence of liquidity and diversification influencing post exercise sale decisions, suggesting that option related sales are less impacted by these forces than previously thought. We further find evidence that sales more likely to be influenced by taxes are associated with less negative post sale returns. This finding extends prior tax research by showing evidence that insiders are selling soon after the tax advantaged holding period is achieved, and also that these sales are less informative about future returns. Finally, we provide a more distinct contribution to the literature in our examination of loss aversion. Specifically, we provide evidence that the exercise price is the most likely reference point for establishing the gain and loss domain for the insider. We further show that as the price approaches this reference point, sales become less informative and insiders are less willing to continue holding. We also examine short window market reactions to sales among each of these dimensions, finding that the market generally interprets the impact of each of these factors in a manner that is consistent with the post-sale returns.

Compulsive exercise or exercise dependence? Clarifying conceptualizations of exercise in the context of eating disorder pathology

ObjectiveMaladaptive exercise relates to eating disorder (ED) pathology and impairment in clinical and non-clinical populations. At present, two different conceptualizations of maladaptive exercise are often studied in relation to ED pathology: compulsive exercise and exercise dependence. Compulsive exercise functions to avoid negative affect (e.g., guilt and anxiety) associated with not exercising, whereas exercise dependence is associated with tolerance to exercise benefits and avoidance of exercise withdrawal. At present, clinicians and researchers struggle to determine the most appropriate term for describing problematic exercise in individuals with ED pathology. This study aimed to directly compare these conceptualizations of maladaptive exercise in relation to severity of ED pathology. DesignThis study examined cross-sectional data. MethodUndergraduate participants (N = 235, 78% female) with elevated ED pathology completed the Eating Disorder Examination Questionnaire (EDE-Q), Compulsive Exercise Test (CET), and Exercise Dependence Scale (EDS). Multiple linear regression analyses evaluated associations between EDE-Q and CET and EDS scores and dominance analysis determined which qualities of exercise were uniquely associated with EDE-Q scores. ResultsResults suggest that compulsive qualities of exercise, including exercise to control shape and weight and to avoid negative affect are more strongly associated with severity of ED pathology than qualities of exercise dependence. ConclusionsClinicians and researchers working with ED populations can benefit from prioritizing assessments that capture compulsive qualities of exercise. Additionally, these results suggest that interventions that effectively target other compulsive behaviors (e.g., exposure and response prevention) may be promising treatment options for problematic exercise in the context of EDs.