ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
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Publication:3608737
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Cites work
- scientific article; zbMATH DE number 3852340 (Why is no real title available?)
- A general framework for evaluating executive stock options
- An example of indifference prices under exponential preferences
- Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
- Exercise regions of American options on several assets
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- Pricing early exercise contracts in incomplete markets
- The Mathematics of Financial Derivatives
- 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
- Utility valuation of multi-name credit derivatives and application to CDOs
- Utility–indifference hedging and valuation via reaction–diffusion systems
Cited in
(41)- Employee stock options. Exercise timing, hedging, and valuation
- Bond indifference prices
- Non-transferable non-hedgeable executive stock option pricing
- Optimal multiple stopping with negative discount rate and random refraction times under Lévy models
- An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
- A variational inequality arising from optimal exercise perpetual executive stock options
- Partial liquidation under reference-dependent preferences
- Pricing executive stock options under employment shocks
- American step-up and step-down default swaps under Lévy models
- Employee-stock-options, production/service functions and game theory
- Employee stock options: an up-and-out protected barrier call
- Forward dynamic utility functions: a new model and new results
- Mathematical analysis of a variational inequality modelling perpetual executive stock options
- 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
- Stock loans in incomplete markets
- Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
- Accounting for risk aversion in derivatives purchase timing
- An optimal multiple stopping approach to infrastructure investment decisions
- Enhanced equity-credit modelling for contingent convertibles
- On the interaction between transfer restrictions and crediting strategies in guaranteed funds
- ESO valuation with job termination risk and jumps in stock price
- Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing
- Asymptotic behavior of optimal exercise strategy for a small number of executive stock options
- Are we using the wrong letters? An analysis of executive stock option Greeks
- A humanized model of employee stock options in Black-Scholes framework
- A top-down approach for the multiple exercises and valuation of employee stock options
- Optimal exercise of an executive stock option by an insider
- Valuation of employee stock options using the exercise multiple approach and life tables
- Pricing derivatives with counterparty risk and collateralization: a fixed point approach
- Forward indifference valuation of American options
- OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
- A reduced form model for ESO valuation. Modelling the effects of employee departure and takeovers on the value of employee share options
- A note on utility indifference pricing
- Indifference prices and implied volatilities
- The value of being lucky: option backdating and nondiversifiable risk
- Mean–variance hedging of contingent claims with random maturity
- A parabolic variational inequality related to the perpetual American executive stock options
- Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits
- On the optimal exercise boundaries of swing put options
- Portfolios of American options under general preferences: results and counterexamples
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