3 papers
math.PR2019
Discretionary stopping of stochastic differential equations with generalised drift
Mihail Zervos, Neofytos Rodosthenous, Pui Chan Lon +1
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we deriv…
q-fin.PR2017
Valuation of Employee Stock Options (ESOs) by means of Mean-Variance Hedging
Kamil Kladivko, Mihail Zervos
We consider the problem of ESO valuation in continuous time. In particular, we consider models that assume that an appropriate random time serves as a proxy for anything that cause…
math.PR2007
A Singular Control Model with Application to the Goodwill Problem
Andrew J. F. Jack, Timothy C. Johnson, Mihail Zervos
We consider a stochastic system whose uncontrolled state dynamics are modelled by a general one-dimensional Itô diffusion. The control effort that can be applied to this system tak…