Risk aversion and block exercise of executive stock options
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Publication:2271611
DOI10.1016/j.jedc.2008.05.005zbMath1170.91413OpenAlexW1981004557MaRDI QIDQ2271611
Vicky Henderson, M. R. Grasselli
Publication date: 7 August 2009
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2008.05.005
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Related Items (22)
Are employee stock option exercise decisions better explained through the prospect theory? ⋮ Non-transferable non-hedgeable executive stock option pricing ⋮ An optimal multiple stopping approach to infrastructure investment decisions ⋮ A variational inequality arising from optimal exercise perpetual executive stock options ⋮ ESO Valuation with Job Termination Risk and Jumps in Stock Price ⋮ Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models ⋮ Asymptotic behavior of optimal exercise strategy for a small number of executive stock options ⋮ AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING ⋮ Mathematical analysis of a variational inequality modelling perpetual executive stock options ⋮ A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS ⋮ A parabolic variational inequality related to the perpetual American executive stock options ⋮ Backdating executive stock options -- an ex ante valuation ⋮ Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point ⋮ OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS ⋮ OPTIMAL EXERCISE OF AN EXECUTIVE STOCK OPTION BY AN INSIDER ⋮ Partial liquidation under reference-dependent preferences ⋮ A NOTE ON UTILITY INDIFFERENCE PRICING ⋮ Optimal Consumption and Sale Strategies for a Risk Averse Agent ⋮ A free boundary problem coming from the perpetual American call options with utility ⋮ THE VALUE OF BEING LUCKY: OPTION BACKDATING AND NONDIVERSIFIABLE RISK ⋮ Forward indifference valuation of American options ⋮ PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES
Cites Work
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- Optimum consumption and portfolio rules in a continuous-time model
- Valuing the option to invest in an incomplete market
- A general framework for evaluating executive stock options
- Horizon-unbiased utility functions
- The Valuation of Executive Stock Options in an Intensity-Based Framework *
- The impact of the market portfolio on the valuation, incentives and optimality of executive stock options
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