A reduced form model for ESO valuation. Modelling the effects of employee departure and takeovers on the value of employee share options

DOI10.1007/S001860300320zbMath1083.91058OpenAlexW1965412261MaRDI QIDQ1880265

Alexander Szimayer

Publication date: 22 September 2004

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860300320

zbMATH Keywords

Cox processEmployee departureEmployee share optionPerformance linked optionsTakeover provisions

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Related Items (3)

ESO Valuation with Job Termination Risk and Jumps in Stock Price ⋮ Mean–variance hedging of contingent claims with random maturity ⋮ Intensity-based framework and penalty formulation of optimal stopping problems

This page was built for publication: A reduced form model for ESO valuation. Modelling the effects of employee departure and takeovers on the value of employee share options