Optimal multiple stopping models of reload options and shout options

DOI10.1016/J.JEDC.2007.10.002zbMath1181.91311OpenAlexW3123996113WikidataQ60148449 ScholiaQ60148449MaRDI QIDQ844713

Min Dai, Yue Kuen Kwok

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://repository.ust.hk/ir/bitstream/1783.1-3301/1/Opt_Dai_06.pdf

zbMATH Keywords

employee stock optionslookback optionsmultiple optimal stoppingreload featureshout call options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Related Items (9)

Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models ⋮ AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING ⋮ A Direct Approach to the Solution of Optimal Multiple-Stopping Problems ⋮ An exactly solvable multiple stochastic optimal stopping problem ⋮ Pricing corporate debt with finite maturity and chapter 11 proceedings ⋮ Valuation of stock loans with jump risk ⋮ CONTINUOUSLY CONTROLLED OPTIONS: DERIVATIVES WITH ADDED FLEXIBILITY ⋮ MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING ⋮ OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY

Cites Work

• Some mathematical results in the pricing of American options
• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
• Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH
• Options with Multiple Reset Rights
• Valuing employee reload options under the time vesting requirement

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