A variational inequality arising from optimal exercise perpetual executive stock options

DOI10.1017/S0956792517000031zbMath1401.91534MaRDI QIDQ4575274

Xinfu Chen, Xin Lai, Cong Qin, Wanghui Yu

Publication date: 13 July 2018

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

zbMATH Keywords

variational inequalityfree boundaryoptimal exerciseperpetual executive stock option

Mathematics Subject Classification ID

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

Related Items (2)

Asymptotic behavior of optimal exercise strategy for a small number of executive stock options ⋮ On Balanced Growth Path Solutions of a Knowledge Diffusion and Growth Model

Cites Work

• Unnamed Item
• A parabolic variational inequality related to the perpetual American executive stock options
• Optimal exercise of executive stock options
• Risk aversion and block exercise of executive stock options
• Regularity of free boundary arising from optimal exercise of perpetual executive stock options
• Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs
• ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
• Mathematical analysis of a variational inequality modelling perpetual executive stock options

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