ESO Valuation with Job Termination Risk and Jumps in Stock Price

DOI10.1137/130937949zbMath1333.60082arXiv1504.08073OpenAlexW3123783535MaRDI QIDQ2941470

Haohua Wan, Tim Leung

Publication date: 28 August 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.08073

zbMATH Keywords

Fourier transformLévy processesvariational inequalityemployee stock optionsjob termination

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stopping in statistics (62L15)

Related Items (2)

A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS ⋮ THE VALUE OF BEING LUCKY: OPTION BACKDATING AND NONDIVERSIFIABLE RISK

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