A parabolic variational inequality related to the perpetual American executive stock options

DOI10.1016/j.na.2011.06.042zbMath1254.35222OpenAlexW1996683823MaRDI QIDQ640189

Liping Song, Wanghui Yu

Publication date: 17 October 2011

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2011.06.042

zbMATH Keywords

regularityexistenceuniquenesstime discretization

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Other special methods applied to PDEs (35A25) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators (35K86)

Related Items (5)

The uniqueness of the solution for the definite problem of a parabolic variational inequality ⋮ A variational inequality arising from optimal exercise perpetual executive stock options ⋮ Asymptotic behavior of optimal exercise strategy for a small number of executive stock options ⋮ Mathematical analysis of a variational inequality modelling perpetual executive stock options ⋮ A free boundary problem coming from the perpetual American call options with utility

Cites Work

• Optimal exercise of executive stock options
• Risk aversion and block exercise of executive stock options
• Horizon-unbiased utility functions
• ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
• Unnamed Item

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