Utility indifference pricing of ESO with reload terms
“Nontradable” is one of the important characters of the Executive Stock Option(ESO).Therefore,the ESO cannot be priced by hedging the corresponding underlying asset.In this paper,we study ESO with reload terms by utility indifference method,based on stochastic control theory.We deduce the Hamilton-J...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Academic Journals Center of Shanghai Normal University
2018-02-01
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| Series: | Journal of Shanghai Normal University (Natural Sciences) |
| Subjects: | |
| Online Access: | http://qktg.shnu.edu.cn/zrb/shsfqkszrb/ch/reader/view_abstract.aspx?file_no=201801001&flag=1 |