Non-transferable non-hedgeable executive stock option pricing

DOI10.1016/j.jedc.2015.02.002zbMath1401.91528OpenAlexW3123691003MaRDI QIDQ1657589

David Feldman, David B. Colwell, Wei Hu

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2015.02.002

zbMATH Keywords

stochastic discount factorexecutive stock optionsnon-transferableconstrained portfolio optimizationnon-hedgeable

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Portfolio optimization with wealth-dependent risk constraints

Cites Work

• Pricing executive stock options under employment shocks
• Martingale methods in financial modelling.
• A general framework for evaluating executive stock options
• Convex duality in constrained portfolio optimization
• On the pricing of contingent claims under constraints
• Risk aversion and block exercise of executive stock options
• The Valuation of Executive Stock Options in an Intensity-Based Framework *
• ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Theory of Random Sets
• Existence and Uniqueness of Solutions to the Bellman Equation in the Unbounded Case