Mathematical analysis of a variational inequality modelling perpetual executive stock options
DOI10.1017/S0956792514000424zbMATH Open1408.91218MaRDI QIDQ4594535FDOQ4594535
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)
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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)
Cites Work
- Optimal exercise of executive stock options
- Continuous-time stochastic control and optimization with financial applications
- Controlled Markov processes and viscosity solutions
- ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
- Title not available (Why is that?)
- 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
- A free boundary problem coming from the perpetual American call options with utility
Cited In (7)
- A variational inequality arising from optimal exercise perpetual executive stock options
- Optimal strategies of the 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
- 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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