ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS

From MaRDI portal
Publication:3608737

DOI10.1111/j.1467-9965.2008.00359.xzbMath1155.91388OpenAlexW1994549666MaRDI QIDQ3608737

Ronnie Sircar, Tim Leung

Publication date: 6 March 2009

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2008.00359.x



Related Items

Are we using the wrong letters? An analysis of executive stock option Greeks, Stock Loans in Incomplete Markets, Pricing derivatives with counterparty risk and collateralization: a fixed point approach, Enhanced equity-credit modelling for contingent convertibles, Non-transferable non-hedgeable executive stock option pricing, An optimal multiple stopping approach to infrastructure investment decisions, A variational inequality arising from optimal exercise perpetual executive stock options, ESO Valuation with Job Termination Risk and Jumps in Stock Price, Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models, Asymptotic behavior of optimal exercise strategy for a small number of executive stock options, AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING, Pricing executive stock options under employment shocks, Mathematical analysis of a variational inequality modelling perpetual executive stock options, Accounting for risk aversion in derivatives purchase timing, Mean–variance hedging of contingent claims with random maturity, A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS, A parabolic variational inequality related to the perpetual American executive stock options, On the Interaction between Transfer Restrictions and Crediting Strategies in Guaranteed Funds, Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits, Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point, Pricing options in incomplete equity markets via the instantaneous Sharpe ratio, INDIFFERENCE PRICES AND IMPLIED VOLATILITIES, OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS, Forward dynamic utility functions: a new model and new results, American step-up and step-down default swaps under Lévy models, On the Optimal Exercise Boundaries of Swing Put Options, OPTIMAL EXERCISE OF AN EXECUTIVE STOCK OPTION BY AN INSIDER, Partial liquidation under reference-dependent preferences, A NOTE ON UTILITY INDIFFERENCE PRICING, A free boundary problem coming from the perpetual American call options with utility, THE VALUE OF BEING LUCKY: OPTION BACKDATING AND NONDIVERSIFIABLE RISK, Bond indifference prices, Forward indifference valuation of American options, PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES, Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing



Cites Work