Mathematical analysis of a variational inequality modelling perpetual executive stock options

DOI10.1017/S0956792514000424zbMath1408.91218MaRDI QIDQ4594535

Mingxin Wang, Xin Lai, Cong Qin, Xinfu Chen, Wanghui Yu

Publication date: 24 November 2017

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

variational inequalitystochastic controlfree boundaryperpetual executive stock option

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators (35K86)

Related Items (3)

A variational inequality arising from optimal exercise perpetual executive stock options ⋮ Asymptotic behavior of optimal exercise strategy for a small number of executive stock options ⋮ On Balanced Growth Path Solutions of a Knowledge Diffusion and Growth Model

Cites Work

• A parabolic variational inequality related to the perpetual American executive stock options
• Optimal exercise of executive stock options
• Continuous-time stochastic control and optimization with financial applications
• Risk aversion and block exercise of executive stock options
• Controlled Markov processes and viscosity solutions
• A free boundary problem coming from the perpetual American call options with utility
• Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs
• ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
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