{"id":"https://openalex.org/W2018256979","doi":"https://doi.org/10.1137/080718930","title":"Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation","display_name":"Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation","publication_year":2009,"publication_date":"2009-01-01","ids":{"openalex":"https://openalex.org/W2018256979","doi":"https://doi.org/10.1137/080718930","mag":"2018256979"},"language":"en","primary_location":{"id":"doi:10.1137/080718930","is_oa":false,"landing_page_url":"https://doi.org/10.1137/080718930","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5044975638","display_name":"Tim Leung","orcid":"https://orcid.org/0000-0002-0023-6289"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Tim Leung","raw_affiliation_strings":["timleung@jhu.edu#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"timleung@jhu.edu#TAB#","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5039402165","display_name":"Ronnie Sircar","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Ronnie Sircar","raw_affiliation_strings":["sircar@princeton.edu#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"sircar@princeton.edu#TAB#","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":6.2157,"has_fulltext":false,"cited_by_count":35,"citation_normalized_percentile":{"value":0.96343495,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"48","issue":"3","first_page":"1422","last_page":"1451"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9958999752998352,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9958999752998352,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.9884999990463257,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9879000186920166,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/optimal-stopping","display_name":"Optimal stopping","score":0.7544377446174622},{"id":"https://openalex.org/keywords/valuation","display_name":"Valuation (finance)","score":0.7214863300323486},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.5884413719177246},{"id":"https://openalex.org/keywords/exponential-function","display_name":"Exponential function","score":0.5463122129440308},{"id":"https://openalex.org/keywords/stock-options","display_name":"Stock options","score":0.5375919342041016},{"id":"https://openalex.org/keywords/call-option","display_name":"Call option","score":0.5357206463813782},{"id":"https://openalex.org/keywords/put-option","display_name":"Put option","score":0.5052013993263245},{"id":"https://openalex.org/keywords/exotic-option","display_name":"Exotic option","score":0.5015192031860352},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.49695876240730286},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.47822660207748413},{"id":"https://openalex.org/keywords/minification","display_name":"Minification","score":0.4647347927093506},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4139842092990875},{"id":"https://openalex.org/keywords/asian-option","display_name":"Asian option","score":0.4125061333179474},{"id":"https://openalex.org/keywords/moneyness","display_name":"Moneyness","score":0.41144800186157227},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.4034436047077179},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3275662064552307},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.31285035610198975},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.1317625641822815}],"concepts":[{"id":"https://openalex.org/C99414536","wikidata":"https://www.wikidata.org/wiki/Q7098950","display_name":"Optimal stopping","level":2,"score":0.7544377446174622},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.7214863300323486},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5884413719177246},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.5463122129440308},{"id":"https://openalex.org/C3017619653","wikidata":"https://www.wikidata.org/wiki/Q187860","display_name":"Stock options","level":2,"score":0.5375919342041016},{"id":"https://openalex.org/C2777600642","wikidata":"https://www.wikidata.org/wiki/Q1508707","display_name":"Call option","level":2,"score":0.5357206463813782},{"id":"https://openalex.org/C2778311368","wikidata":"https://www.wikidata.org/wiki/Q1939618","display_name":"Put option","level":2,"score":0.5052013993263245},{"id":"https://openalex.org/C138060521","wikidata":"https://www.wikidata.org/wiki/Q584207","display_name":"Exotic option","level":3,"score":0.5015192031860352},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.49695876240730286},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.47822660207748413},{"id":"https://openalex.org/C147764199","wikidata":"https://www.wikidata.org/wiki/Q6865248","display_name":"Minification","level":2,"score":0.4647347927093506},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4139842092990875},{"id":"https://openalex.org/C1898038","wikidata":"https://www.wikidata.org/wiki/Q728255","display_name":"Asian option","level":3,"score":0.4125061333179474},{"id":"https://openalex.org/C173921975","wikidata":"https://www.wikidata.org/wiki/Q1806850","display_name":"Moneyness","level":2,"score":0.41144800186157227},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4034436047077179},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3275662064552307},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.31285035610198975},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1317625641822815},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/080718930","is_oa":false,"landing_page_url":"https://doi.org/10.1137/080718930","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":24,"referenced_works":["https://openalex.org/W1964913344","https://openalex.org/W1981004557","https://openalex.org/W1984697146","https://openalex.org/W1988403523","https://openalex.org/W1990081136","https://openalex.org/W1994549666","https://openalex.org/W2007131044","https://openalex.org/W2026807577","https://openalex.org/W2028548809","https://openalex.org/W2044381497","https://openalex.org/W2052920925","https://openalex.org/W2055019799","https://openalex.org/W2075642249","https://openalex.org/W2076525986","https://openalex.org/W2105832006","https://openalex.org/W2112196420","https://openalex.org/W2116108052","https://openalex.org/W2117838481","https://openalex.org/W2122598534","https://openalex.org/W2127956091","https://openalex.org/W2134436675","https://openalex.org/W2161007682","https://openalex.org/W3124521936","https://openalex.org/W3124619851"],"related_works":["https://openalex.org/W2896279455","https://openalex.org/W2488624740","https://openalex.org/W2892068125","https://openalex.org/W2345636725","https://openalex.org/W2479733336","https://openalex.org/W2097643684","https://openalex.org/W2137299907","https://openalex.org/W2561677606","https://openalex.org/W2358859843","https://openalex.org/W1930689104"],"abstract_inverted_index":{"We":[0,36,76],"study":[1],"the":[2,86,93,97],"problem":[3,56],"of":[4,46,62],"hedging":[5],"early":[6],"exercise":[7],"(American)":[8],"options":[9,65,84],"with":[10,40,49,82],"respect":[11],"to":[12,24,88,96],"exponential":[13],"utility":[14],"within":[15],"a":[16,26,72],"general":[17],"incomplete":[18],"market":[19],"model.":[20,75],"This":[21],"leads":[22],"us":[23],"construct":[25],"duality":[27],"formula":[28],"involving":[29],"relative":[30],"entropy":[31],"minimization":[32],"and":[33,43,52,67,91],"optimal":[34],"stopping.":[35],"further":[37],"consider":[38],"claims":[39,48],"multiple":[41],"exercises,":[42],"static-dynamic":[44],"hedges":[45,81],"American":[47,53],"other":[50],"European":[51],"options.":[54],"The":[55],"is":[57],"important":[58],"for":[59],"accurate":[60],"valuation":[61],"employee":[63],"stock":[64],"(ESOs),":[66],"we":[68],"demonstrate":[69],"this":[70],"in":[71],"standard":[73],"diffusion":[74],"find":[77],"that":[78],"incorporating":[79],"static":[80],"market-traded":[83],"induces":[85],"holder":[87],"delay":[89],"exercises":[90],"increases":[92],"ESO":[94],"cost":[95],"firm.":[98]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":2},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":8}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}