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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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Michael Monoyios More by this author
Publication date:
2010
URN:
uuid:963218d8-dd9c-4876-85fa-13341adab84c
Local pid:
oai:eprints.maths.ox.ac.uk:972

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