Optimal exercise of executive stock options
From MaRDI portal
Publication:1003338
DOI10.1007/s00780-007-0041-9zbMath1164.62084MaRDI QIDQ1003338
L. C. G. Rogers, José Alexandre Scheinkman
Publication date: 28 February 2009
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-007-0041-9
discrete approximation; control problem; optimal exercise; constant absolute risk aversion; American call options
DB lookup for MSC labels failed