Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation

DOI10.1137/080718930zbMath1192.91182OpenAlexW2018256979MaRDI QIDQ3566970

Ronnie Sircar, Tim Leung

Publication date: 10 June 2010

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/6de1830f75eedf720fe06088d9db00b0d8221202

zbMATH Keywords

optimal stoppingAmerican optionsfinancial mathematicsemployee stock optionsutility indifference pricing

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

Nash Equilibria for Game Contingent Claims with Utility-Based Hedging ⋮ Optimal static quadratic hedging ⋮ AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING ⋮ Accounting for risk aversion in derivatives purchase timing ⋮ A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS ⋮ Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point ⋮ Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule ⋮ Forward dynamic utility functions: a new model and new results ⋮ OPTIMAL EXERCISE OF AN EXECUTIVE STOCK OPTION BY AN INSIDER ⋮ Optimal Consumption and Sale Strategies for a Risk Averse Agent ⋮ Forward indifference valuation of American options

This page was built for publication: Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation