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Volume 8, Number 4, 2018, Pages 1122-1142                                                                DOI:10.11948/2018.1122
The optimal execution strategy of employee stock options
Yi Fu,Baojun Bian,Jizhou Zhang and Dirk Linowski
Keywords:Optimal execution strategy, ESO, HJBVI, viscosity solution.
Abstract:
      In this paper, we develop an optimal execution strategy for employee stock options by means of the fluid model, in which a voluntary turnover is considered. We show that the value function is the viscosity solution of the Hamilton-Jacobi-Bellman variational inequality and prove the uniqueness of the viscosity solution. Finally, we present numerical illustrative examples and numerical solutions of optimal strategies which are computed by the finite difference method.
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