Optimal multiple stopping models of reload options and shout options
DOI10.1016/J.JEDC.2007.10.002zbMATH Open1181.91311OpenAlexW3123996113WikidataQ60148449 ScholiaQ60148449MaRDI QIDQ844713FDOQ844713
Authors: Min Dai, Yue Kuen Kwok 
Publication date: 19 January 2010
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: http://repository.ust.hk/ir/bitstream/1783.1-3301/1/Opt_Dai_06.pdf
Recommendations
- Valuing employee reload options under the time vesting requirement
- VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH
- Infinite reload options: pricing and analysis
- OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
- Pricing of a reload employee stock option under severance risk
Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)
Cites Work
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- Some mathematical results in the pricing of American options
- Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
- MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
- OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
- VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH
- Options with Multiple Reset Rights
- Valuing employee reload options under the time vesting requirement
Cited In (14)
- VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH
- Valuing employee reload options under the time vesting requirement
- Continuously controlled options: derivatives with added flexibility
- Optimal multiple stopping with negative discount rate and random refraction times under Lévy models
- Pricing of a reload employee stock option under severance risk
- A Direct Approach to the Solution of Optimal Multiple-Stopping Problems
- Shout options: A framework for pricing contracts which can be modified by the investor
- Pricing corporate debt with finite maturity and chapter 11 proceedings
- An exactly solvable multiple stochastic optimal stopping problem
- MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING
- Optimal redeeming strategy of stock loans with finite maturity
- Valuing reload options
- Valuation of stock loans with jump risk
- An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
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