非线性、相关性与员工股票期权定价
Nonlinearity, correlation and the valuation of employee stock options
摘要：
我们提出了一个离散时间算法的估值员工股票期权指数无差异价格的基础上，并考虑到部分行使的一小部分期权的可能性和使用相关的交易资产，以对冲部分风险。我们确定在这种条件下的最优行使政策，并提出数值结果显示这两种影响如何可以显着改变员工的期权价值，以及其成本的发行公司。
英文摘要：
We propose a discrete time algorithm for the valuation of employee stock options based on exponential indifference prices and taking into account both the possibility of partial exercise of a fraction of the options and the use of a correlated traded asset to hedge part of their risk. We determine the optimal exercise policy under this conditions and present numerical results showing how both effects can significantly change the value of the option for an employee, as well as its cost for the issuing firm.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
