The ability of standard executive stock options to incite managers to adequately select the assets of their firm has been extensively questioned by academics and practitioners. However, very few alternatives exist or have been proposed to better control the investment strategies of top managers....

This paper presents the implementation to the class of jump diffusion models of the approach used by Boyarchenko and Levendorskii (2002) in the case of exponential Lévy models. We show that this approach is more computationally efficient than the semi closed form solutions derived by Kou...

Reformulating the results of del Baño Rollin, Ferreiro-Castilla, and Utzet (2010), we are able to give necessary and sufficient conditions for the moments of the stock price to exist and extend Theorem 2.1 of Forde and Jacquier (2011). Precisely Forde and Jacquier (2011) provide necessary...

Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. Blei and Engelbert (2009) and Mijatovi c and Urusov (2012c) give necessary and sufficient conditions in the case of...