Abstract
In this paper, we develop an optimal execution strategy for employee stock options by means of the fluid model, in which a voluntary turnover is considered. We show that the value function is the viscosity solution of the Hamilton-Jacobi-Bellman variational inequality and prove the uniqueness of the viscosity solution. Finally, we present numerical illustrative examples and numerical solutions of optimal strategies which are computed by the finite difference method.
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
