Optimal multiple stopping models of reload options and shout options

DOI10.1016/J.JEDC.2007.10.002MaRDI QIDQ844713zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

employee stock optionslookback optionsmultiple optimal stoppingreload featureshout call options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

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

Cites work

• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
• Options with Multiple Reset Rights
• Some mathematical results in the pricing of American options
• VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH
• Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
• 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
• Optimal redeeming strategy of stock loans with finite maturity
• MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING
• 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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