Carmona, Julio; León, Angel; Vaello-Sebastià, Antoni - In: Journal of Economic Dynamics and Control 35 (2011) 1, pp. 97-114
We obtain explicit expressions for the subjective, objective and market value of perpetual executive stock options (ESOs) under exogenous employment shocks driven by an independent Poisson process. Previously, we obtain the executive's optimal exercise policy from the subjective valuation that...