Executive stock option exercise with full and partial information on a drift change point
We analyse the valuation and exercise of an American executive call option written on a stock whose drift parameter falls to a lower value at a change point given by an exponential random time, independent of the Brownian motion driving the stock. Two agents, who do not trade the stock, have differi...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Society for Industrial and Applied Mathematics
2020
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