{"entities":{"Q2515793":{"pageid":2526536,"ns":120,"title":"Item:Q2515793","lastrevid":78797855,"modified":"2026-05-06T12:27:49Z","type":"item","id":"Q2515793","labels":{"en":{"language":"en","value":"Regularity of free boundary arising from optimal exercise of perpetual executive stock options"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 6471121"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2515793$AE90D638-1549-4413-8278-3D5C61FB5B32","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"71e1475c68d9ac012b110288fe00a91b69dc2aa7","datavalue":{"value":{"text":"Regularity of free boundary arising from optimal exercise of perpetual executive stock options","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q2515793$D5092C8D-5CFD-456F-8413-F04773FCD6AC","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"92d1d034b41d5cc365c83f3ff08b1c60cba365c4","datavalue":{"value":"1346.35197","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2515793$C098DDAF-5422-4488-A7EF-27F1F39B538D","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"6072ebeab975d5081aa47dd6ce00aeb97f39691c","datavalue":{"value":"10.4171/IFB/334","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2515793$E6D0C212-60C3-4036-9814-A839ADD30CD8","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"130181f45566f7f07f95e77ebe8cce2964e21905","datavalue":{"value":{"entity-type":"item","numeric-id":321864,"id":"Q321864"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2515793$9FBAC906-92D0-40A8-8738-B70723E59828","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"f9ddb516d153ecbab6b27eb59ea7d0072929832b","datavalue":{"value":{"entity-type":"item","numeric-id":168557,"id":"Q168557"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2515793$5FDF2097-58BC-49FD-97E3-6AAB5FF02D35","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"32346b2b4e98cc26095023c493894e50fee2f419","datavalue":{"value":{"entity-type":"item","numeric-id":321863,"id":"Q321863"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2515793$4F5405E4-CD97-472B-B96B-6E8474E6F67D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"c106d49abaaed837b3c21a1cfc19fa91c4026685","datavalue":{"value":{"entity-type":"item","numeric-id":195638,"id":"Q195638"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2515793$327107F1-7D07-4071-B954-E272CA6D192C","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"d5a5bcd44a06f3aec9537fec9198b686393a29b2","datavalue":{"value":{"entity-type":"item","numeric-id":167510,"id":"Q167510"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2515793$04D0A538-9570-445D-A88B-844F44C93CCB","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"740d35fe9c4d597c0c2badb44e584c1da64170de","datavalue":{"value":{"time":"+2015-08-06T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q2515793$4CA7D6DD-2909-4911-B48F-7B93862797EC","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"498eb72a276071bc0da572844e551d8d52059e5a","datavalue":{"value":"The paper proves the regularity of a degenerate Stefan type free boundary problem that results from a variational inequality modeling the value function of a perpetual executive stock (American call) option. In particular the authors consider the value function  \\[ V(x,s,A) = \\lim_{T\\to\\infty} \\sup_{\\{ A(t) \\} \\in \\mathbb A } \\mathbb E\\left[ U\\left( x - \\int_0^T e^{-r t} [S(t) - K]^+ dA(t)\\right) \\Big| S(0) = s\\right],  \\]  where \\(x,s,K,A\\) are the initial cash, the stock price, the strike price, and the ESO holdings, \\(r\\geq 0\\) is a constant discount rate and \\(U\\) is a given utility (concave increasing) function, and \\(\\mathbb A \\) is the set of all the admissible holding strategies. By assuming a Black-Scholes model  \\[ dS(t) = \\alpha S(t) dt + \\sigma S(t) dW(t) \\]  for the stock, and an exponential utility function \\(U(s) = -e^{-\\gamma z }\\), the authors show that the value function \\(V\\) can be written as \\(V = U(x + \\gamma^{-1} \\varphi)\\) where \\(\\varphi(z,a)\\) is the viscosity solution of the variational inequality:  \\[  \\min\\left\\{ R a \\varphi_a - \\varphi_{zz} - \\nu \\varphi_z + \\varphi_z^2, \\varphi_a - g^+ \\right\\} = 0\\;\\text{ in } \\;\\mathbb R \\times (0,\\infty),\\;\\varphi(\\cdot, 0) = 0. \\]  Here subscripts represent partial derivatives,  \\[  z = \\log \\frac{s}{K},\\;a = \\gamma K A, \\;R = \\frac{2r}{\\sigma^2}>0,\\;\\nu = \\frac{2 \\alpha}{\\sigma^2} -1,\\;g(z) = e^z -1.  \\]  By defining \\(\\psi = \\varphi_a\\) and \\(w = \\varphi_{aa}\\) and making the assumption that \\(R > \\max\\left\\{ \\nu + 1, 0\\right\\}\\), the authors derive the following Stefan type free boundary problem  \\[ \\begin{cases} (R a w + 2 \\varphi_z \\psi_z)_a = w_{zz} + \\nu w_z - Rw & \\forall a \\geq 0, z < s(a), \\\\ w = 0 & \\forall a \\geq 0, z < s(a), \\\\ w_z = [g''+(\\nu-2\\varphi_z)g'-Rg] s' & \\forall a \\geq 0, z < s(a)^-, \\\\ \\psi_a = w, \\varphi_a = \\psi & \\forall a \\geq 0, z \\in \\mathbb R, \\\\ w(\\cdot,0) = w_0, \\psi(\\cdot,0) = \\psi_0, \\varphi(\\cdot,0) \\;& \\forall a \\geq 0, z \\in \\mathbb R, \\end{cases} \\]  where \\(z = s(a)\\) is the free boundary. The authors establish the regularity of the free boundary by solving directly the free boundary problem.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2515793$BE2FE344-75FE-43B9-BAE8-84E812E2EAA3","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"eaa774ce44cf672b96183b9cec2504b63b1fbe4a","datavalue":{"value":{"entity-type":"item","numeric-id":851844,"id":"Q851844"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2515793$DAE260A1-0F44-4ABE-BA10-CF4C78EF11EE","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"d6697538cb7a6024fa739eee05a1f012ecc891dc","datavalue":{"value":"35Q91","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2515793$0F06E070-F414-47B9-B1A5-235B0FEBE885","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"f0dd6ede5e1be436313ba8629697fe1d4b201fc5","datavalue":{"value":"35K86","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2515793$82275F62-DD74-4F48-B702-779A7180A839","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"46233ee8b7937df2afd0eb5c5f0955a971cd1a67","datavalue":{"value":"35K65","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2515793$9D48822F-AD12-465B-AC27-E7BA7419F284","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"9fa3e81bd1d73482efe437e765d72accba82d844","datavalue":{"value":"91G80","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2515793$08A846EC-5A9C-4218-8CB0-8BDC5692A0DD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"82cd6ba3de809c77ad4ab5a51dd4d14c3b158a01","datavalue":{"value":"91G20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2515793$E5A9522A-4A9F-4892-854F-5FCE8D6044D4","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"ee21a5cbb9ed0be9a61596e335e922d101049669","datavalue":{"value":"6471121","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2515793$1F09065C-061F-4001-9496-0908DBE1C601","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"060645a47b6b8971f28d84a615ee5e1f47ee5ef2","datavalue":{"value":"free boundary problem","type":"string"},"datatype":"string"},"type":"statement","id":"Q2515793$0E3A2563-6C33-47FC-89F7-5ED6F680819B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"8e7faff2915d4676d9468aa746460438a8c2a94e","datavalue":{"value":"variational inequality","type":"string"},"datatype":"string"},"type":"statement","id":"Q2515793$6D9DD59C-E893-4730-8409-0AD56BD05410","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"300a28eaa53081c3a652614fc53978c803bf9f1d","datavalue":{"value":"executive stock option","type":"string"},"datatype":"string"},"type":"statement","id":"Q2515793$6D2ABE5C-704D-4C2C-A568-47EECC69C397","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"c068cae87df593ee2807050e04b67570611f7e88","datavalue":{"value":"American perpetual option","type":"string"},"datatype":"string"},"type":"statement","id":"Q2515793$E793B6A9-31FC-443D-AB70-4A94DDDBF63A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"446e423698283836e278f65a88f3238d81183e98","datavalue":{"value":"optimal exercise","type":"string"},"datatype":"string"},"type":"statement","id":"Q2515793$DAD92878-C7AE-4358-B10E-C98860111CCB","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2515793$6F3C6F44-9336-4F03-B1B9-658A76EE5E91","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"897d4ada9d489064bbebf4e483490d7830c1b8df","datavalue":{"value":{"entity-type":"item","numeric-id":4594535,"id":"Q4594535"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"93ec51d888ec00ef1acfb812ec4a5f29f2df5c97","datavalue":{"value":{"amount":"+0.838340699672699","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2515793$63088AC6-7B30-43F5-B1DC-E0C16F126661","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"96451c96451014bc30cbd5a308e8e619d58cea00","datavalue":{"value":{"entity-type":"item","numeric-id":4575274,"id":"Q4575274"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"8c7ee95b439df7b32d9cab066658ba5a0bfdefcf","datavalue":{"value":{"amount":"+0.8379629254341125","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2515793$38DB7283-5BE4-465C-B135-D1F0D87A172D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"9f3e3934edf10d9f35647ef61263ca6acc1f7224","datavalue":{"value":{"entity-type":"item","numeric-id":5171721,"id":"Q5171721"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"5c1cb6d83f6ba1231b0c8f1ae67b977b5127007d","datavalue":{"value":{"amount":"+0.8348000645637512","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2515793$516B3059-7875-412E-B96A-03E62C26A55D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"5d3554bd8701c5e7e422e08b438de26e50b69ae0","datavalue":{"value":{"entity-type":"item","numeric-id":2839199,"id":"Q2839199"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"67277c157076bc2d3b11fa19224771210a60cbbc","datavalue":{"value":{"amount":"+0.8100839257240295","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2515793$1ACB8E0B-1B83-46BE-8407-4520CA4FD8EF","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"2d10f6a296b9a77c839da4dd8c351da9177eae3d","datavalue":{"value":{"entity-type":"item","numeric-id":640189,"id":"Q640189"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"6a64359da46b7daabc12631fcff6837422ad756d","datavalue":{"value":{"amount":"+0.7922286987304688","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2515793$61D48440-E305-4A40-AE02-ECF21FBE0E68","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Regularity of free boundary arising from optimal exercise of perpetual executive stock options","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Regularity_of_free_boundary_arising_from_optimal_exercise_of_perpetual_executive_stock_options"}}}}}