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Optimal Exercise of American Claims When

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  • J. Scheinkman
  • C. Rogers L.

Abstract

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  • J. Scheinkman & C. Rogers L., 2003. "Optimal Exercise of American Claims When," Princeton Economic Theory Working Papers 77e0e688f3178298289e06d42, David K. Levine.
    • Handle: RePEc:cla:princt:77e0e688f3178298289e06d42cf27cdf
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    File URL: http://www.princeton.edu/~joses/wp/OEAC.pdf
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    References listed on IDEAS

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    1. Detemple, Jerome & Sundaresan, Suresh, 1999. "Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 835-872.
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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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