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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

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1 result for “PIDVI”
ESO Valuation with Job Termination Risk and Jumps in Stock Priceq-fin.PR

This paper values ESOs considering job termination and stock price jumps.

problem Valuing ESOs with job termination risk and stock price jumps.
method General Lévy stock price dynamics, inhomogeneous partial integro-differential variational inequality (PIDVI), Fourier transform, geometric Brownian motion.
result Higher job termination risk leads to earlier ESO exercise, reducing company costs.
Employee Stock OptionsJob Termination RiskStock Price JumpsLévy ProcessesPIDVI
2015-04-30abs ↗pdf ↗