Author's profile

Anand Srinivasan
National University of Singapore

Background

Author articles

  • Perpetual call options with non-tradability
    Finance
    Banking

    We explicitly solve an optimal stopping problem related to the exercise of a perpetual American call option when the option holder cannot trade the underlying asset.

    22/09/2011 | 1,015
  • Executive stock options: value to the executive and cost to the firm
    Finance
    Banking

    We develop a continuous time utility-based model for valuing executive stock options (ESOs). Assuming that the ESO is perpetual (has infinite maturity) and has no vesting restrictions, we explicitly solve for the optimal exercise policy and the value of an ESO from the executive's perspective.

    22/09/2011 | 1,060