Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
https://epubs.siam.org/doi/pdf/10.1137/18M1222909
Reference36 articles.
1. Are executive stock option exercises driven by private information?
2. Convergence of approximation schemes for fully nonlinear second order equations
3. A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
4. Private Information and the Exercise of Executive Stock Options
5. AMERICAN OPTIONS WITH REGIME SWITCHING
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