A digitalized employee option

DOI10.1080/17442500601090383zbMath1284.91547OpenAlexW1979252436MaRDI QIDQ3429335

No author found.

Publication date: 30 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500601090383

zbMATH Keywords

optimal stoppingemployee optionoption valuationexercise strategysmooth fit at a single point

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• On the pricing of American options
• A change-of-variable formula with local time on curves
• American-style Indexed Executive Stock Options
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