Portfolios of American options under general preferences: results and counterexamples

DOI10.1111/MAFI.12008zbMATH Open1314.91196OpenAlexW3124170037WikidataQ124801227 ScholiaQ124801227MaRDI QIDQ2875728FDOQ2875728

Authors: Vicky Henderson, Jia Sun, A. Elizabeth Whalley 

Publication date: 11 August 2014

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12008

Recommendations

• Exercise regions of American options on several assets
• Perpetual American options in incomplete markets: the infinitely divisible case
• Optimal control of option portfolios and applications
• Optimal exercise of executive stock options
• OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS

zbMATH Keywords

employee stock optionsAmerican optionsutility indifference pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• Optimal exercise of executive stock options
• OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
• ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
• Optimal Stopping With Multiple Priors
• Optimal Stopping and the American Put
• Title not available (Why is that?)
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• Stochastic finance. An introduction in discrete time
• On the theory of option pricing
• On the pricing of American options
• Prospect Theory: An Analysis of Decision under Risk
• Exponential utility indifference valuation in two Brownian settings with stochastic correlation
• Robustness of the Black and Scholes Formula
• Optimal stopping for dynamic convex risk measures
• Representations for optimal stopping under dynamic monetary utility functionals
• Optimal stopping for non-linear expectations. I
• Volatility misspecification, option pricing and superreplication via coupling
• The pricing of the American option
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• Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
• On optimal stopping and free boundary problems
• Valuing the option to invest in an incomplete market
• THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS
• An integral equation for American put options on assets with general dividend processes
• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• Dual pricing of multi-exercise options under volume constraints
• The impact of the market portfolio on the valuation, incentives and optimality of executive stock options
• Risk aversion and block exercise of executive stock options
• The American put option in a one-dimensional diffusion model with level-dependent volatility

Cited In (6)

• Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation
• The shape of the value function under Poisson optimal stopping
• Partial liquidation under reference-dependent preferences
• Model-independent no-arbitrage conditions on American put options
• Optimal exercise of American put options near maturity: a new economic perspective
• The value of being lucky: option backdating and nondiversifiable risk

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