A variational inequality arising from optimal exercise perpetual executive stock options

DOI10.1017/S0956792517000031zbMATH Open1401.91534MaRDI QIDQ4575274FDOQ4575274

Authors: Xin Lai, Xinfu Chen, Cong Qin, Wanghui Yu 

Publication date: 13 July 2018

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

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zbMATH Keywords

free boundaryvariational inequalityoptimal exerciseperpetual executive stock option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Variational inequalities (49J40)

Cites Work

• Optimal exercise of executive stock options
• ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
• Title not available (Why is that?)
• Risk aversion and block exercise of executive stock options
• A parabolic variational inequality related to the perpetual American executive stock options
• Characterization of optimal strategy for multiasset investment and consumption with transaction costs
• Regularity of free boundary arising from optimal exercise of perpetual executive stock options
• Mathematical analysis of a variational inequality modelling perpetual executive stock options

Cited In (6)

• Mathematical analysis of a variational inequality modelling perpetual executive stock options
• Optimal strategies of the perpetual executive stock options
• On balanced growth path solutions of a knowledge diffusion and growth model
• A parabolic variational inequality related to the perpetual American executive stock options
• Asymptotic behavior of optimal exercise strategy for a small number of executive stock options
• Regularity of free boundary arising from optimal exercise of perpetual executive stock options

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