ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS

DOI10.1111/J.1467-9965.2008.00359.XzbMATH Open1155.91388OpenAlexW1994549666MaRDI QIDQ3608737FDOQ3608737

Authors: Tim Leung, Ronnie Sircar 

Publication date: 6 March 2009

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2008.00359.x

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zbMATH Keywords

employee stock optionsreaction-diffusion equationsrisk aversionAmerican options

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• The Mathematics of Financial Derivatives
• Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
• A general framework for evaluating executive stock options
• The Valuation of Executive Stock Options in an Intensity-Based Framework *
• An example of indifference prices under exponential preferences
• Exercise regions of American options on several assets
• Utility–indifference hedging and valuation via reaction–diffusion systems
• Utility valuation of multi-name credit derivatives and application to CDOs
• The impact of the market portfolio on the valuation, incentives and optimality of executive stock options
• Pricing early exercise contracts in incomplete markets

Cited In (39)

• Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing
• INDIFFERENCE PRICES AND IMPLIED VOLATILITIES
• Partial liquidation under reference-dependent preferences
• On the Interaction between Transfer Restrictions and Crediting Strategies in Guaranteed Funds
• Stock Loans in Incomplete Markets
• A humanized model of employee stock options in Black-Scholes framework
• Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits
• A variational inequality arising from optimal exercise perpetual executive stock options
• Mathematical analysis of a variational inequality modelling perpetual executive stock options
• Optimal multiple stopping with negative discount rate and random refraction times under Lévy models
• An optimal multiple stopping approach to infrastructure investment decisions
• Portfolios of American options under general preferences: results and counterexamples
• Enhanced equity-credit modelling for contingent convertibles
• Are we using the wrong letters? An analysis of executive stock option Greeks
• ESO Valuation with Job Termination Risk and Jumps in Stock Price
• THE VALUE OF BEING LUCKY: OPTION BACKDATING AND NONDIVERSIFIABLE RISK
• Bond indifference prices
• Forward dynamic utility functions: a new model and new results
• On the Optimal Exercise Boundaries of Swing Put Options
• Pricing derivatives with counterparty risk and collateralization: a fixed point approach
• Forward indifference valuation of American options
• Mean–variance hedging of contingent claims with random maturity
• Non-transferable non-hedgeable executive stock option pricing
• Pricing executive stock options under employment shocks
• A note on utility indifference pricing
• American step-up and step-down default swaps under Lévy models
• A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS
• OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
• A parabolic variational inequality related to the perpetual American executive stock options
• Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
• A reduced form model for ESO valuation. Modelling the effects of employee departure and takeovers on the value of employee share options
• Employee stock options: an up-and-out protected barrier call
• Asymptotic behavior of optimal exercise strategy for a small number of executive stock options
• Accounting for risk aversion in derivatives purchase timing
• Employee-stock-options, production/service functions and game theory
• A free boundary problem coming from the perpetual American call options with utility
• Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point
• Optimal exercise of an executive stock option by an insider
• An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting

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