Optimal multiple stopping models of reload options and shout options
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Publication:844713
DOI10.1016/j.jedc.2007.10.002zbMath1181.91311WikidataQ60148449 ScholiaQ60148449MaRDI QIDQ844713
Publication date: 19 January 2010
Published in: Journal of Economic Dynamics \& 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
employee stock options; lookback options; multiple optimal stopping; reload feature; shout call options
91G20: Derivative securities (option pricing, hedging, etc.)
91G99: Actuarial science and mathematical finance
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MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING, OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY
Cites Work
- Some mathematical results in the pricing of American options
- MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
- OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
- Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH
- Options with Multiple Reset Rights
- Valuing employee reload options under the time vesting requirement