ESO Valuation with Job Termination Risk and Jumps in Stock Price (Q2941470): Difference between revisions

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+.08073
@@ Property / arXiv ID: 1504.08073 / rank @@
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+Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions
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+The Pricing of Options and Corporate Liabilities
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+Randomization and the American Put
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+The Valuation of Executive Stock Options in an Intensity-Based Framework *
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+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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+A penalty method for American options with jump diffusion processes
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+Risk aversion and block exercise of executive stock options
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+Fourier space time-stepping for option pricing with Lévy models
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+A Jump-Diffusion Model for Option Pricing
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+Perpetual options and Canadization through fluctuation theory
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+The critical price for the American put in an exponential Lévy model
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+ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
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+A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
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+The Variance Gamma Process and Option Pricing
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+Option pricing when underlying stock returns are discontinuous
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+Optimal stopping, free boundary, and American option in a jump-diffusion model
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+Q4937701
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+A reduced form model for ESO valuation. Modelling the effects of employee departure and takeovers on the value of employee share options
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