Optimal multiple stopping models of reload options and shout options
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References listed on IDEAS
- Philip H. Dybvig & Mark Loewenstein, 2003. "Employee Reload Options: Pricing, Hedging, and Optimal Exercise," Review of Financial Studies, Society for Financial Studies, vol. 16(1), pages 145-171.
- Johnson, Shane A. & Tian, Yisong S., 2000. "The value and incentive effects of nontraditional executive stock option plans," Journal of Financial Economics, Elsevier, vol. 57(1), pages 3-34, July.
- Min Dai & Yue Kuen Kwok & Lixin Wu, 2004. "Optimal Shouting Policies Of Options With Strike Reset Right," Mathematical Finance, Wiley Blackwell, vol. 14(3), pages 383-401.
- Steven Huddart & Ravi Jagannathan & Jane Saly, 1999. "Valuing the Reload Features of Executive Stock Options," NBER Working Papers 7020, National Bureau of Economic Research, Inc.
- Min Dai & Yue Kuen Kwok, 2005. "Valuing employee reload options under the time vesting requirement," Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 61-69.
- N. Meinshausen & B. M. Hambly, 2004. "Monte Carlo Methods For The Valuation Of Multiple-Exercise Options," Mathematical Finance, Wiley Blackwell, vol. 14(4), pages 557-583.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang, 2015. "Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models," Papers 1505.07313, arXiv.org.
- Min Dai & Zuo Quan Xu, 2009. "Optimal Redeeming Strategy of Stock Loans," Papers 0906.0702, arXiv.org.
- Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang, 2015.
"An Analytic Recursive Method For Optimal Multiple Stopping: Canadization And Phase-Type Fitting,"
International Journal of Theoretical and Applied Finance (IJTAF),
World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1-31.
- Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang, 2015. "An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting," Papers 1505.07705, arXiv.org.
- Cai, Ning & Sun, Lihua, 2014. "Valuation of stock loans with jump risk," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 213-241.
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