A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS

DOI10.1142/S0219024920500041zbMath1443.91297arXiv1906.03562OpenAlexW2996018960MaRDI QIDQ5114675

Yang Zhou, Tim Leung

Publication date: 25 June 2020

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

Full work available at URL: https://arxiv.org/abs/1906.03562

zbMATH Keywords

Fourier transformjump processemployee stock optionsmaturity randomization

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

Cites Work

• Pricing executive stock options under employment shocks
• A general framework for evaluating executive stock options
• Risk aversion and block exercise of executive stock options
• The Valuation of Executive Stock Options in an Intensity-Based Framework *
• ESO Valuation with Job Termination Risk and Jumps in Stock Price
• A Top-Down Approach to Multiname Credit
• 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
• Fourier space time-stepping for option pricing with Lévy models
• The Mathematics of Financial Derivatives

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