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Optimal Exercise of American Claims When Markets Are Not Complete

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  • L. C. Rogers
  • Jose A. Scheinkman

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File URL: http://www.dklevine.com/archive/refs4506439000000000114.pdf
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Bibliographic Info

Paper provided by David K. Levine in its series Levine's Working Paper Archive with number 506439000000000114.

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Date of creation: 21 Jan 2003
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Handle: RePEc:cla:levarc:506439000000000114

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Web page: http://www.dklevine.com/

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Cited by:
  1. 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.
  2. Wei Xiong & Ronnie Sircar, 2004. "Evaluating Incentive Options," Econometric Society 2004 North American Winter Meetings 253, Econometric Society.
  3. M. R. Grasselli, 2005. "Nonlinearity, correlation and the valuation of employee stock options," Papers math/0511234, arXiv.org.

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