Abstract
Valuing executive stock options is a challenging problem, because the standard risk-neutral valuation of those options is not appropriate; the executive is not allowed to trade the stock of the firm, so is not operating in a complete market. As this paper shows, an executive holding many American-style call options on his firm’s stock will optimally exercise the options bit by bit, whereas a risk-neutral valuation of the options would assume that all are exercised at the same time. Comparative statics of the optimal exercise policy show many surprising features.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Published version (
Free)
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
