Optimal Exercise of American Claims When Markets Are Not Complete
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Date of creation: 21 Jan 2003
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- Wei Xiong & Ronnie Sircar, 2004. "Evaluating Incentive Options," Econometric Society 2004 North American Winter Meetings 253, Econometric Society.
- Sircar, Ronnie & Xiong, Wei, 2007. "A general framework for evaluating executive stock options," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2317-2349, July.
- M. R. Grasselli, 2005. "Nonlinearity, correlation and the valuation of employee stock options," Papers math/0511234, arXiv.org.
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