Mathematical analysis of a variational inequality modelling perpetual executive stock options
From MaRDI portal
Publication:4594535
Derivative securities (option pricing, hedging, etc.) (91G20) Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators (35K86) Free boundary problems for PDEs (35R35) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
Recommendations
- A variational inequality arising from optimal exercise perpetual executive stock options
- A parabolic variational inequality related to the perpetual American executive stock options
- The uniqueness of the solution for the definite problem of a parabolic variational inequality
- A parabolic variational inequality arising from the valuation of strike reset options
- A free boundary problem coming from the perpetual American ESOs
Cites work
- scientific article; zbMATH DE number 3899626 (Why is no real title available?)
- scientific article; zbMATH DE number 2233868 (Why is no real title available?)
- A free boundary problem coming from the perpetual American call options with utility
- 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
- Continuous-time stochastic control and optimization with financial applications
- Controlled Markov processes and viscosity solutions
- Optimal exercise of executive stock options
- Risk aversion and block exercise of executive stock options
Cited in
(7)- On balanced growth path solutions of a knowledge diffusion and growth model
- A variational inequality arising from optimal exercise perpetual executive stock options
- Regularity of free boundary arising from optimal exercise of perpetual executive stock options
- Asymptotic behavior of optimal exercise strategy for a small number of executive stock options
- A free boundary problem coming from the perpetual American ESOs
- Optimal strategies of the perpetual executive stock options
- A parabolic variational inequality related to the perpetual American executive stock options
This page was built for publication: Mathematical analysis of a variational inequality modelling perpetual executive stock options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4594535)
