Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation
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Publication:3566970
DOI10.1137/080718930zbMath1192.91182MaRDI QIDQ3566970
Publication date: 10 June 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/6de1830f75eedf720fe06088d9db00b0d8221202
optimal stopping; American options; financial mathematics; employee stock options; utility indifference pricing
91B70: Stochastic models in economics
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
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