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Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation
16 references·0 citing·42 second hop
Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation (2009)Exponential Hedging with Optimal Stopping…ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS (2009)ACCOUNTING FOR RISK AVERSION,…Horizon-unbiased utility functions (2007)Horizon-unbiased utility func…DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES (2007)DYNAMIC INDIFFERENCE VALUATIO…Dynamic exponential utility indifference valuation (2005)Dynamic exponential utility i…An example of indifference prices under exponential preferences (2004)An example of indifference pr…On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper (2002)On the optimal portfolio for …Exponential Hedging and Entropic Penalties (2002)Exponential Hedging and Entro…Managerial Ownership, Incentive Contracting, and the Use of Zero-Cost Collars and Equity Swaps by Corporate Insiders (2001)Managerial Ownership, Incenti…Utility Maximization with Discretionary Stopping (2000)Utility Maximization with Dis…The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets (2000)The Minimal Entropy Martingal…Pricing Via Utility Maximization and Entropy (2000)Pricing Via Utility Maximizat…Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach (1999)Nontraded Asset Valuation wit…Static Hedging of Exotic Options (1998)Static Hedging of Exotic Opti…Hedging American contingent claims with constrained portfolios (1998)Hedging American contingent c…Employee stock options (1994)Employee stock optionsLifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The pricing of commodity contracts (1976)Returns of claims on the upside and the viability of U-shaped pricing kernels☆ (2010)The Skew Risk Premium in the Equity Index Market (2013)Arbitrage and duality in nondominated discrete-time models (2015)Optimal replication of contingent claims under transaction costs (1989)Convex measures of risk and trading constraints (2002)MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE (2010)Paris-Princeton Lectures on Mathematical Finance 2010 (2010)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The cumulant process and Esscher's change of measure (2002)Inf-convolution of risk measures and optimal risk transfer (2005)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (2006)Solvability of backward stochastic differential equations with quadratic growth (2007)OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS (2013)Optimum consumption and portfolio rules in a continuous-time model (1971)Martingales and stochastic integrals in the theory of continuous trading (1981)DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION (2006)Brownian Motion and Stochastic Calculus (2007)Optimal investment decisions when time-horizon is uncertain (2008)OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY (2008)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Management ownership and market valuation (1988)Executive Compensation as an Agency Problem (2003)Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? (2003)Company Stock in Pension Plans: How Costly Is It? (2005)Market valuation of employee stock options (1996)Estimating the Value of Employee Stock Option Portfolios and Their Sensitivities to Price and Volatility (1998)Theory of rational option pricing (2005)Incentives, Targeting, and Firm Performance: An Analysis of Non-executive Stock Options (2010)Option pricing and Esscher transform under regime switching (2005)Utility maximization in incomplete markets (2005)
this work references cited by second hop

References

  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets584 cited
  • 2000Pricing Via Utility Maximization and Entropy454 cited
  • 2002Exponential Hedging and Entropic Penalties369 cited
  • 1994Employee stock options353 cited
  • 1998Static Hedging of Exotic Options286 cited
  • 2004An example of indifference prices under exponential preferences266 cited
  • 2000Utility Maximization with Discretionary Stopping235 cited
  • 2001Managerial Ownership, Incentive Contracting, and the Use of Zero-Cost Collars and Equity Swaps by Corporate Insiders202 cited
  • 2005Dynamic exponential utility indifference valuation192 cited
  • 2007DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES168 cited
  • 1999Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach162 cited
  • 2002On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper123 cited
  • 1998Hedging American contingent claims with constrained portfolios122 cited
  • 2009ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS

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  • 2007Horizon-unbiased utility functions76 cited
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