THE OPTIMAL EXECUTION STRATEGY OF EMPLOYEE STOCK OPTIONS

DOI10.11948/2018.1122zbMATH Open1457.91374OpenAlexW2886503611MaRDI QIDQ5148024FDOQ5148024

Dirk Linowski, Yi Fu, Jizhou Zhang, Baojun Bian

Publication date: 29 January 2021

Published in: Journal of Applied Analysis & Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.11948/2018.1122

zbMATH Keywords

viscosity solutionoptimal execution strategyESOHJBVI

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

Cites Work

• Title not available (Why is that?)
• Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing
• Viscosity Solutions of Hamilton-Jacobi Equations
• User’s guide to viscosity solutions of second order partial differential equations
• Valuation of employee stock options using the exercise multiple approach and life tables
• OPTIMAL EXERCISE OF AN EXECUTIVE STOCK OPTION BY AN INSIDER
• Employee stock option valuation with repricing features

Cited In (2)

• Pricing executive stock options under employment shocks
• Optimal trading of stock options under alternative strategy

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