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PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES

Abstract:

We consider the optimal exercise of a portfolio of American call options in an incomplete market. Options are written on a single underlying asset but may have different characteristics of strikes, maturities, and vesting dates. Our motivation is to model the decision faced by an employee who is granted options periodically on the stock of her company, and who is not permitted to trade this stock. The first part of our study considers the optimal exercise of single options. We prove results u...

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Publication status:
Published

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Publisher copy:
10.1111/mafi.12008

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Institution:
University of Oxford
Department:
Oxford, MPLS, Oxford-Man
Role:
Author
Publisher:
Blackwell Publishing Inc.
Journal:
MATHEMATICAL FINANCE
Volume:
24
Issue:
3
Pages:
533-566
Publication date:
2014-07-05
DOI:
EISSN:
1467-9965
ISSN:
0960-1627
URN:
uuid:7c1040b0-9f66-40ac-a123-be5645f40b8b
Source identifiers:
325016
Local pid:
pubs:325016

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