THE OPTIMAL EXECUTION STRATEGY OF EMPLOYEE STOCK OPTIONS
From MaRDI portal
Publication:5148024
DOI10.11948/2018.1122zbMath1457.91374MaRDI QIDQ5148024
Dirk Linowski, Yi Fu, Jizhou Zhang, Baojun Bian
Publication date: 29 January 2021
Published in: Journal of Applied Analysis & Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.11948/2018.1122
93E20: Optimal stochastic control
91G20: Derivative securities (option pricing, hedging, etc.)
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
Cites Work
- Unnamed Item
- Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing
- Valuation of employee stock options using the exercise multiple approach and life tables
- OPTIMAL EXERCISE OF AN EXECUTIVE STOCK OPTION BY AN INSIDER
- Employee stock option valuation with repricing features
- Viscosity Solutions of Hamilton-Jacobi Equations
- User’s guide to viscosity solutions of second order partial differential equations