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

DOI10.1016/J.NA.2011.06.042zbMATH Open1254.35222OpenAlexW1996683823MaRDI QIDQ640189FDOQ640189

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

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zbMATH Keywords

regularityexistenceuniquenesstime discretization

Mathematics Subject Classification ID

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

Cites Work

• Optimal exercise of executive stock options
• ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
• Title not available (Why is that?)
• Horizon-unbiased utility functions
• Risk aversion and block exercise of executive stock options

Cited In (7)

• A variational inequality arising from optimal exercise perpetual executive stock options
• Mathematical analysis of a variational inequality modelling perpetual executive stock options
• A parabolic variational inequality arising from the valuation of strike reset options
• The uniqueness of the solution for the definite problem of a parabolic variational inequality
• Parabolic variational inequalities: the Lagrange multiplier approach
• Asymptotic behavior of optimal exercise strategy for a small number of executive stock options
• A free boundary problem coming from the perpetual American call options with utility

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