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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
Division:
SSD
Department:
Divisional Administration
Sub department:
Oxford-Man Institute
Role:
Author
Publisher:
Blackwell Publishing Inc.
Journal:
MATHEMATICAL FINANCE
Volume:
24
Issue:
3
Pages:
533-566
Publication date:
2014-07-01
DOI:
EISSN:
1467-9965
ISSN:
0960-1627
Source identifiers:
325016
Language:
English
Keywords:
Pubs id:
pubs:325016
UUID:
uuid:7c1040b0-9f66-40ac-a123-be5645f40b8b
Local pid:
pubs:325016
Deposit date:
2014-07-02

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