A parabolic variational inequality related to the perpetual American executive stock options (Q640189): Difference between revisions
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| Property / cites work: Optimal exercise of executive stock options / rank | |||
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| Property / cites work: Horizon-unbiased utility functions / rank | |||
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| Property / cites work: Risk aversion and block exercise of executive stock options / rank | |||
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| Property / cites work: ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS / rank | |||
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| Property / cites work: Q3994515 / rank | |||
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Revision as of 12:45, 4 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A parabolic variational inequality related to the perpetual American executive stock options |
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A parabolic variational inequality related to the perpetual American executive stock options (English)
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17 October 2011
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A certain parabolic variational inequality originating from the study of the optimal strategy related to the American executive stock exchange options in financial markets is studied. The authors introduce the problem which is quite involved and provide a result concerning the existence, the uniqueness and regularity of solutions. The problem is solved via appropriate time discretization methods along with convergence approach that is possible in view given estimates.
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existence
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uniqueness
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regularity
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time discretization
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