Optimal exercise of executive stock options
From MaRDI portal
Publication:1003338
DOI10.1007/S00780-007-0041-9zbMath1164.62084OpenAlexW2047049233MaRDI QIDQ1003338
L. C. G. Rogers, José Alexandre Scheinkman
Publication date: 28 February 2009
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-007-0041-9
discrete approximationcontrol problemoptimal exerciseconstant absolute risk aversionAmerican call options
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of optimal control and differential games (49N90) Stopping times; optimal stopping problems; gambling theory (60G40)
Related Items (12)
The uniqueness of the solution for the definite problem of a parabolic variational inequality ⋮ A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes ⋮ A variational inequality arising from optimal exercise perpetual executive stock options ⋮ Asymptotic behavior of optimal exercise strategy for a small number of executive stock options ⋮ Valuing executive stock options: a quadratic approximation ⋮ Mathematical analysis of a variational inequality modelling perpetual executive stock options ⋮ A parabolic variational inequality related to the perpetual American executive stock options ⋮ OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS ⋮ OPTIMAL EXERCISE OF AN EXECUTIVE STOCK OPTION BY AN INSIDER ⋮ A free boundary problem coming from the perpetual American call options with utility ⋮ PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES ⋮ Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing
Cites Work
This page was built for publication: Optimal exercise of executive stock options
