Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing

DOI10.3934/DCDS.2015.35.5413MaRDI QIDQ255503zbMATH OpenOpenAlexFDO

Authors Baojun Bian, Shuntai Hu, Quan Yuan, Harry Zheng

Publication date 9 March 2016

Published in Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcds.2015.35.5413

zbMATH Keywords

constrained viscosity solutionemployee stock optionsHJB equationincomplete marketnumerical simulationoptimal controlvalue function

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Viscosity solutions to PDEs (35D40) Boundary value problems for second-order elliptic equations (35J25) Degenerate elliptic equations (35J70) PDEs in connection with control and optimization (35Q93)

Recommendations

• The optimal execution strategy of employee stock options
• Optimal strategies of the perpetual executive stock options
• A free boundary problem coming from the perpetual American ESOs
• Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation
• ESO valuation with job termination risk and jumps in stock price

Cites work

• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 2233868 (Why is no real title available?)
• ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
• Optimal decision for selling an illiquid stock
• Optimal exercise of executive stock options
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(2)

• Optimal control model of an enterprise for single and inheriting periods of carbon emission reduction
• The optimal execution strategy of employee stock options

This page was built for publication: Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q255503)