Utility indifference pricing of ESO with reload terms

MaRDI QIDQ4688766zbMATH OpenFDO

Authors Yi Fu, Jizhou Zhang, Sulei Ji

Publication date 22 October 2018

zbMATH Keywords

executive stock optionGreen functionHamilton-Jacobi-Bellman equationutility indifference pricing

Mathematics Subject Classification ID

Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Non-transferable non-hedgeable executive stock option pricing
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Cited in

(2)

• Pricing of a reload employee stock option under severance risk
• VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH

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