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
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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
- 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
- Title not available (Why is that?)
- OPTIMAL EXERCISE OF AN EXECUTIVE STOCK OPTION BY AN INSIDER
- Employee stock option valuation with repricing features
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