ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
From MaRDI portal
Publication:3608737
DOI10.1111/j.1467-9965.2008.00359.xzbMath1155.91388MaRDI QIDQ3608737
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
Related Items
American step-up and step-down default swaps under Lévy models, Pricing executive stock options under employment shocks, A parabolic variational inequality related to the perpetual American executive stock options, Pricing options in incomplete equity markets via the instantaneous Sharpe ratio, Accounting for risk aversion in derivatives purchase timing, Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits, A free boundary problem coming from the perpetual American call options with utility, OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS, OPTIMAL EXERCISE OF AN EXECUTIVE STOCK OPTION BY AN INSIDER, Forward indifference valuation of American options
Cites Work
- Unnamed Item
- Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
- A general framework for evaluating executive stock options
- An example of indifference prices under exponential preferences
- Exercise regions of American options on several assets
- Pricing early exercise contracts in incomplete markets
- The Valuation of Executive Stock Options in an Intensity-Based Framework *
- Utility–indifference hedging and valuation via reaction–diffusion systems
- The Mathematics of Financial Derivatives
- Utility valuation of multi-name credit derivatives and application to CDOs
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- The impact of the market portfolio on the valuation, incentives and optimality of executive stock options
