College of Business: University of Illinois at Urbana-Champaign

Important Site Links
 
   
   
       
 

Martin Widdicks

Senior Lecturer of Finance and Director, MSF Program

All Publications


Articles in Journals

Widdicks, M., Pinto, H. Forthcoming. Do compensation plans with performance targets provide better incentives? Journal of Corporate Finance

Widdicks, M., Taylor, S., Tzeng, C. Forthcoming. Bankruptcy probabilities inferred from option prices. Journal of Derivatives

Widdicks, M., Zhao, J. Forthcoming. A Model of Equity Based Compensation with Tax.. Journal of Business Finance and Accounting

Widdicks, M., Newton, D., Duck, P., Yang, C. 2009. Singular Perturbation Techniques Applied to Multiasset Option Pricing. Mathematical Finance, 19: 457 - 486

Widdicks, M., Andricopoulos, A., Duck, P., Newton, D. 2007. Extending quadrature methods to value multi-asset and complex path-dependent options. Journal of Financial Economics, 83: 471-499

Widdicks, M., Andricopoulos, A., Duck, P., Newton, D. 2005. The Black-Scholes equation revisited: asymptotic expansions and singular perturbations. Mathematical Finance, 15: 373 - 391

Widdicks, M., Duck, P., Newton, D., Leung, Y. 2005. Enhancing the accuracy of pricing American/Bermudan options. Journal of Derivatives, 12: 34 - 44

Widdicks, M., Andricopoulos, A., Duck, P., Newton, D. 2004. Curtailing the range for lattice and grid methods. Journal of Derivatives, 11: 55 - 61

Widdicks, M., Andricopoulos, A., Duck, P., Newton, D. 2003. Universal option pricing using quadrature. Journal of Financial Economics, 67: 447 - 471

Widdicks, M., Andricopoulos, A., Duck, P., Newton, D. 2002. On the enhanced convergence of lattice methods for option pricing. Journal of Futures Markets, 22: 315 - 338

Working Papers

Widdicks, M., Pollet, J., White, J. 2013. Executive Stock Option Exercise Behavior with Consumption and Overcon fidence

Widdicks, M., Sun, L. 2013. Why Do Employees Like To Be Paid With Options?: A Multi-period Prospect Theory Approach.

Widdicks, M., Taylor, S., Tzeng, C. 2013. Information About Price and Volatility Jumps Inferred from Option Prices

Presentations

Widdicks, M., Tzeng, C., Taylor, S. 2013. Information about Price and Volatility Jumps Inferred from Option Prices., Financial Management Association Meeting, Chicago.

Widdicks, M., Pinto, H. 2012. Do Compensation Plans With Performance Targets Provide Better Incentives?, Midwest Finance Association Annual Meeting, New Orleans.

Widdicks, M., Sun, L. 2012. Why Do Employees Like To Be Paid With Options?: A Prospect Theory Approach, European Finance Association Annual Meeting, Copenhagen.

Widdicks, M., Taylor, S., Tzeng, C. 2012. Bankruptcy Probabilities Inferred from Option Prices, 25th Australasian Finance and Banking Conference, Sydney.

Widdicks, M., Pinto, H. 2011. Do Compensation Plans With Performance Targets Provide Better Incentives?, Financial Management Association European Conference, Porto.

Widdicks, M., Taylor, S., Tzeng, C. 2010. Information about Price and Volatility Jumps Inferred from Option Prices, European Financial Managment Association Conference, Aarhus.

Widdicks, M., Tzeng, C., Taylor, S. 2010. Information about Price and Volatility Jumps Inferred from Option Prices, International Conference on Computing in Economics and Finance, London.

Widdicks, M., Pollet, J. , White, J. 2008. Executive Stock Option Exercise Behavior with Consumption and Overcon dence, European Finance Association Annual Meeting, Athens.

 

Contact Information:

331 Wohlers Hall
1206 South Sixth Street
Champaign, IL, 61820
(217) 244-6856
widdicks@illinois.edu


Faculty Profile

 
 
 
UIUC College of Business