OPTIMAL EXERCISE OF AN EXECUTIVE STOCK OPTION BY AN INSIDER

DOI10.1142/S0219024911006279zbMath1217.91185OpenAlexW2122930722MaRDI QIDQ3086257

No author found.

Publication date: 30 March 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006279

zbMATH Keywords

optimal stoppingfree boundaryexecutive stock optionsinsider information

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point ⋮ THE OPTIMAL EXECUTION STRATEGY OF EMPLOYEE STOCK OPTIONS ⋮ Optimal Liquidation of an Asset under Drift Uncertainty ⋮ The early exercise boundary under the jump to default extended CEV model

Cites Work

• Unnamed Item
• Mathematical methods for financial markets.
• Optimal exercise of executive stock options
• A general framework for evaluating executive stock options
• Optimal investment with inside information and parameter uncertainty
• Risk aversion and block exercise of executive stock options
• Properties of American option prices
• A moving boundary approach to American option pricing
• Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation
• ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
• Finite-horizon optimal stopping, obstacle problems and the shape of the continuation region
• Robustness of the Black and Scholes Formula

This page was built for publication: OPTIMAL EXERCISE OF AN EXECUTIVE STOCK OPTION BY AN INSIDER