Mathematical analysis of a variational inequality modelling perpetual executive stock options

DOI10.1017/S0956792514000424MaRDI QIDQ4594535zbMATH OpenFDO

Authors Xin Lai, Xinfu Chen, Mingxin Wang, Cong Qin, Wanghui Yu

Publication date 24 November 2017

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

Full work available at URL https://doi.org/10.1017/S0956792514000424

zbMATH Keywords

free boundaryperpetual executive stock optionstochastic controlvariational inequality

Mathematics Subject Classification ID

Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators (35K86) Free boundary problems for PDEs (35R35) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

• 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
• scientific article; zbMATH DE number 3899626 (Why is no real title available?)
• scientific article; zbMATH DE number 2233868 (Why is no real title available?)
• Optimal exercise of executive stock options
• Risk aversion and block exercise of executive stock options

Cited in

(7)

• 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
• Optimal strategies of the perpetual executive stock options
• A variational inequality arising from optimal exercise perpetual executive stock options
• A free boundary problem coming from the perpetual American ESOs
• On balanced growth path solutions of a knowledge diffusion and growth model
• A parabolic variational inequality related to the perpetual American executive stock options

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