ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS

DOI10.1111/j.1467-9965.2008.00359.xzbMath1155.91388MaRDI QIDQ3608737

Ronnie Sircar, Tim Leung

Publication date: 6 March 2009

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2008.00359.x

zbMATH Keywords

American options; reaction-diffusion equations; risk aversion; employee stock options

Mathematics Subject Classification ID

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