ESO Valuation with Job Termination Risk and Jumps in Stock Price (Q2941470)

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ESO Valuation with Job Termination Risk and Jumps in Stock Price
scientific article

    Statements

    title
    ESO Valuation with Job Termination Risk and Jumps in Stock Price (English)
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    author
    Tim Leung
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    Haohua Wan
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    publication date
    28 August 2015
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    zbMATH Keywords
    employee stock options
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    job termination
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    Lévy processes
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    variational inequality
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    Fourier transform
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    Identifiers

    DOI
    10.1137/130937949
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    Mathematics Subject Classification ID
    60G40
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    60G51
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    49J40
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    62L15
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    91G20
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    91G80
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    zbMATH DE Number
    6476804
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    OpenAlex ID
    W3123783535
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    arXiv ID
    1504.08073
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