A variational inequality arising from optimal exercise perpetual executive stock options

DOI10.1017/S0956792517000031MaRDI QIDQ4575274zbMATH OpenFDO

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)

zbMATH Keywords

free boundaryvariational inequalityoptimal exerciseperpetual executive stock option

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3899626 (Why is no real title available?)
• A parabolic variational inequality related to the perpetual American executive stock options
• ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
• Characterization of optimal strategy for multiasset investment and consumption with transaction costs
• Mathematical analysis of a variational inequality modelling perpetual executive stock options
• Optimal exercise of executive stock options
• Regularity of free boundary arising from optimal exercise of perpetual executive stock options
• Risk aversion and block exercise of 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
• A parabolic variational inequality related to the perpetual American executive stock options
• On balanced growth path solutions of a knowledge diffusion and growth model
• 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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