Stochastic control methods for the problem of optimal compensation of executives

MaRDI QIDQ5423774zbMATH OpenFDO

Authors Abel Cadenillas, Jakša Cvitanić, Fernando Zapatero

Publication date 31 October 2007

zbMATH Keywords

convex analysismartingale theorystochastic control

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Decision theory (91B06) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Recommendations

• Optimal exercise of executive stock options
• Optimal contracts in continuous-time models
• Optimal investment for executive stockholders with exponential utility
• Applicable stochastic control: From theory to practice
• Optimal exercise of an executive stock option by an insider

Cited in

(3)

• Optimal strategies with option compensation under mean reverting returns or volatilities
• Optimal investment for executive stockholders with exponential utility
• Entrepreneurial decisions on effort and project with a nonconcave objective function

This page was built for publication: Stochastic control methods for the problem of optimal compensation of executives

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5423774)