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Optimal exercise of an executive stock option by an insider

Abstract:

We consider an optimal stopping problem arising in connection with the exercise of an executive stock option by an agent with inside information. The agent is assumed to have noisy information on the terminal value of the stock, does not trade the stock or outside securities, and maximises the expected discounted payoff over all stopping times with regard to an enlarged filtration which includes the inside information. This leads to a stopping problem governed by a time-inhomogeneous diffusio...

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Publisher copy:
10.1142/S0219024911006279

Authors


Monoyios, M More by this author
Journal:
International Journal of Theoretical and Applied Finance
Volume:
14
Issue:
1
Pages:
83-106
Publication date:
2011-02-05
DOI:
EISSN:
1793-6322
ISSN:
0219-0249
URN:
uuid:1f09037f-2855-4284-9a82-ad1b5c657b2a
Source identifiers:
149677
Local pid:
pubs:149677

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